Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10011486394
Persistent link: https://www.econbiz.de/10012001545
Persistent link: https://www.econbiz.de/10003320262
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 heteroskedasticity, or when cross-sectional sample sizes, n, are below 4,000 assets. Estimators...
Persistent link: https://www.econbiz.de/10012938133
Persistent link: https://www.econbiz.de/10014526305
Persistent link: https://www.econbiz.de/10003761342