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:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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