Explaining the single factor bias of arbitrage pricing models in finite samples

Matthew Harding ()

Economics Letters, 2008, vol. 99, issue 1, 85-88

Abstract: This paper shows that in finite samples it is not possible to distinguish all the latent factors from the idiosyncratic noise and that this leads to a bias towards the identification of a single factor. It provides an approximation to this bias and the corresponding sampling distribution.

Date: 2008
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Citations: View citations in EconPapers (5)

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