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A Performance Comparison of Large-n Factor Estimators
Connor, Gregory; Chen, Zhuo; Korajczyk, Robert A. - Department of Economics, National University of Ireland - 2014
This paper uses simulations to evaluate the performance of various methods for estimating factor returns in an approximate factor model when the cross-sectional sample (n) is large relative to the time-series sample (T). We study the performance of the estimators under a variety of alternative...
Persistent link: https://www.econbiz.de/10010961596
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Performance measurement with the arbitrage pricing theory : A new framework for analysis
Connor, Gregory; Korajczyk, Robert A. - In: Journal of Financial Economics 15 (1986) 3, pp. 373-394
Persistent link: https://www.econbiz.de/10005477988
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Risk and return in an equilibrium APT : Application of a new test methodology
Connor, Gregory; Korajczyk, Robert A. - In: Journal of Financial Economics 21 (1988) 2, pp. 255-289
Persistent link: https://www.econbiz.de/10005210518
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The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of Econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10005192848
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The arbitrage pricing theory and multifactor models of asset returns
Connor, Gregory - In: Finance, (pp. 87-144). 1995
Persistent link: https://www.econbiz.de/10001318022
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Performance measurement with the arbitrage pricing theory : a new framework for analysis
Connor, Gregory - In: Journal of financial economics 15 (1986) 3, pp. 373-394
Persistent link: https://www.econbiz.de/10001015195
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A test for the number of factors in an approximate factor model
Connor, Gregory - In: The journal of finance : the journal of the American … 48 (1993) 4, pp. 1263-1291
Persistent link: https://www.econbiz.de/10001152158
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The attributes, behavior, and performance of US mutual funds
Connor, Gregory - In: Review of quantitative finance and accounting 1 (1991) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10001102485
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An intertemporal equilibrium beta pricing model
Connor, Gregory - In: The review of financial studies 2 (1989) 3, pp. 373-392
Persistent link: https://www.econbiz.de/10001106378
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Risk and return in an equilibrium APT : application of a new test methodology
Connor, Gregory - In: Journal of financial economics 2 (1988), pp. 255-289
Persistent link: https://www.econbiz.de/10001051449