Share and Export
Share and Export
Chen, Zhou, 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
Preview
GC_Economics_a performance.pdf
Download (1MB) | Preview
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: | 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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/13086 |
| 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 |
Repository Staff Only (login required)
- Item control page
Downloads
Downloads per month over past year
