Explorations into Factors Explaining Money Market Returns

Peter J Knez, Robert Litterman and Jose Scheinkman

Journal of Finance, 1994, vol. 49, issue 5, 1861-82

Abstract: In this article, the authors measure and interpret the common 'factors' that describe money market returns. Results are presented for both three- and four-factor models. The authors find that the three-factor model explains, on average, 86 percent of the total variation in most money market returns while the four-factor model explains, on average, 90 percent of this variation. Using mimicking portfolios, they provide an interpretation of the systematic risks represented by these factors. Copyright 1994 by American Finance Association.

Date: 1994
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