New answers tagged statistical-finance
2
IIRC, the signs of the PC are meaningless. +/-'ive doesn't itself tell you anything.
Rather, the cross-sectional, absolute max of the PCs will tell you which one is most important per item (eg: PC6 looks most important for Beta: M-3).
I think 6.6a and 6.6b in Cochrane's asset pricing touch on this (https://www.youtube.com/playlist?list=...
3
The first observation I make is that the proportion of variance is not very high for the first PCs, with the implication that I would hypothesise that the PCs are not very stable, nor reliable. (You can test this by varying the sample period and analysing the consistency of the PCs)
If the PCs are not stable from period to period then information you can ...
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