Economics at your fingertips  

A Performance Comparison of Large-n Factor Estimators

Zhuo Chen, Gregory Connor () and Robert Korajczyk ()

Review of Asset Pricing Studies, 2018, vol. 8, issue 1, 153-182

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.Received December 2, 2015; editorial decision May 16, 2017 by Editor Jeffrey Pontiff.

Date: 2018
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Performance Comparison of Large-n Factor Estimators (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Review of Asset Pricing Studies is currently edited by Wayne Ferson

More articles in Review of Asset Pricing Studies from Oxford University Press
Bibliographic data for series maintained by Oxford University Press () and Christopher F. Baum ().

Page updated 2022-01-09
Handle: RePEc:oup:rasset:v:8:y:2018:i:1:p:153-182.