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Factor Analyses and Time-Lagged Regressions

Explore factor analyses and time-lagged regressions for prominent tech stocks like Apple, Cisco Systems, Dell, and more. Discover realized variance and bipower variation insights along with statistical summary metrics. Uncover relationships with MSFT and delve into comprehensive regression analysis. Prepare for advanced quad-power tests and extensions for deeper insight into tech market trends and potential overvaluation biases.

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Factor Analyses and Time-Lagged Regressions

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  1. ECON 201FS Factor Analyses and Time-Lagged Regressions Zed Lamba 3/26/08

  2. ECON 201FS Tech Stocks in S&P 100 (besides MSFT) • AAPL – Apple, ignored due to lack of trustworthy data • CSCO – Cisco Systems • DELL – Dell • EMC – EMC Corporation (data storage, competes with IBM, HP, etc.) • GOOG – ignored for now due to limited data • HPQ – HP • IBM – IBM • INTC – Intel • ORCL – Oracle • TXN – Texas Instruments • XRX – Xerox

  3. ECON 201FS Realized Variance • Daily Realized Variance, where • rt,j = log return • M = # returns/day

  4. ECON 201FS Realized Variance Summary Statistics (Mean, Corr with MSFT)

  5. ECON 201FS Factor Analysis I Only Factor 1 should be considered

  6. ECON 201FS Factor Analysis II Most variables well explained, except XRX

  7. ECON 201FS Time-Lagged Regressions I

  8. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  9. ECON 201FS Time-Lagged Regressions IIb INTC, ORCL, and TXN lagged 1; ORCL lagged 22

  10. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1, but coefficient reduced => OVB

  11. ECON 201FS Time-Lagged Regressions IIIb INTC and MSFT lagged 1; MSFT lagged 5; more OVB

  12. ECON 201FS Bipower Variation

  13. ECON 201FS BV Summary Statistics (Mean, Corr with MSFT)

  14. ECON 201FS Factor Analysis I Only Factor 1 should be considered

  15. ECON 201FS Factor Analysis II Most variables well explained, except XRX

  16. ECON 201FS Time-Lagged Regressions I

  17. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  18. ECON 201FS Time-Lagged Regressions IIb INTC and ORCL lagged 1; HPQ lagged 5; ORCL lagged 22

  19. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1, but coefficient reduced => OVB

  20. ECON 201FS Time-Lagged Regressions IIIb INTC and MSFT lagged 1; MSFT lagged 5; more OVB

  21. ECON 201FS Tri-Power Max Test Statistics • Tri-Power Quarticity: • Estimator of: • Useful Constants: • Test Statistic:

  22. ECON 201FS Summary Statistics (Mean, Corr with MSFT)

  23. ECON 201FS Factor Analysis I Factors 1, 2, and 3 can be considered…

  24. ECON 201FS Factor Analysis II …or not – no variable is well-explained (or even close to it)

  25. ECON 201FS Time-Lagged Regressions I

  26. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  27. ECON 201FS Time-Lagged Regressions IIb HPQ and TXN lagged 5

  28. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1 (coefficient virtually the same!)

  29. ECON 201FS Time-Lagged Regressions IIIb HPQ and TXN lagged 5 (coefficients again virtually the same!)

  30. ECON 201FS Quad-Power Max Test Statistics • Quad-Power Quarticity: • Estimator of: • Useful Constants: • Test Statistic:

  31. ECON 201FS Summary Statistics (Mean, Corr with MSFT)

  32. ECON 201FS Factor Analysis I Factors 1, 2, and 3 can be considered…

  33. ECON 201FS Factor Analysis II …or not – no variable is well-explained (or even close to it)

  34. ECON 201FS Time-Lagged Regressions I

  35. ECON 201FS Time-Lagged Regressions IIa DELL lagged 1

  36. ECON 201FS Time-Lagged Regressions IIb HPQ and TXN lagged 5

  37. ECON 201FS Time-Lagged Regressions IIIa DELL lagged 1 (coefficient virtually the same!)

  38. ECON 201FS Time-Lagged Regressions IIIb HPQ lagged 5; MSFT lagged 22 (coefficients virtually the same!)

  39. ECON 201FS Extensions • Also do time-lagged regressions with HAR-RV type models • Now incorporate GOOG and see whether it matches trends established so far • Have concrete estimates for suspected OVB

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