Peer-Reviewed Journal Details
Mandatory Fields
Chen, Z;Connor, G;Korajczyk, RA
2018
June
Review Of Asset Pricing Studies
A Performance Comparison of Large-n Factor Estimators
Published
1 ()
Optional Fields
FACTOR MODELS COMPONENTS NUMBER COMMON STOCKS RISK
8
153
182
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 hctcroscedasticity outperform the other estimators when those types of heteroscedasticity are present. The differences are most pronounced when the cross-sectional sample is small.
OXFORD
2045-9920
10.1093/rapstu/rax017
Grant Details