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    A Performance Comparison of Large-n Factor Estimators


    Chen, Zhou and Connor, Gregory and Korajczyk, Robert (2018) A Performance Comparison of Large-n Factor Estimators. Review of Asset Pricing Studies, 8 (1). pp. 153-182. ISSN 2045-9920

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    Abstract

    We evaluate the performance of various methods for estimating factor returns in an approximate factor model. Differences across estimators are most pronounced when there is cross-sectional heteroscedasticity or when cross-sectional sample sizes, n, have fewer than 4,000 assets. Estimators incorporating either cross-sectional or time-series heteroscedasticity outperform the other estimators when those types of heteroscedasticity are present. The differences are most pronounced when the cross-sectional sample is small.

    Item Type: Article
    Keywords: performance; comparison; large-n; factor; estimators; C15 - Statistical Simulation Methods: General; C23 - Panel Data Models; Spatio-temporal Models; G10 - General; G12 - Asset Pricing; Trading volume; Bond Interest Rates;
    Academic Unit: Faculty of Science and Engineering > Chemistry
    Item ID: 13086
    Identification Number: https://doi.org/10.1093/rapstu/rax017
    Depositing User: Gregory Connor
    Date Deposited: 23 Jun 2020 14:30
    Journal or Publication Title: Review of Asset Pricing Studies
    Publisher: Oxford University Press
    Refereed: Yes
    URI:

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