A Tale of Two Market Returns: The Broad Market Factor and The Idiosyncratic Financial Factor
Lubar Hall, N440 3202 N. Maryland Ave., MilwaukeePart of the Lubar Research Seminar Series Speaker: Johnathan Loudis, University of Notre Dame We construct a broad market factor (BMF) which reflects the value-weighted return on all firms in the US economy (public and private). The BMF differs from …