A performance comparison of large-n factor estimators

Zhuo Chen, Gregory Connor, Robert Korajczyk*

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

7 Scopus citations

Abstract

We evaluate the performance of various methods for estimating factor returns in an approximate factormodel. Differences across estimators aremost 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.

Original languageEnglish (US)
Pages (from-to)153-182
Number of pages30
JournalReview of Asset Pricing Studies
Volume8
Issue number1
DOIs
StatePublished - Jan 1 2018

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'A performance comparison of large-n factor estimators'. Together they form a unique fingerprint.

Cite this