Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10003996711
Persistent link: https://www.econbiz.de/10009670249
Persistent link: https://www.econbiz.de/10011486394
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/10001139835
Persistent link: https://www.econbiz.de/10001209919
Persistent link: https://www.econbiz.de/10001773706
Persistent link: https://www.econbiz.de/10009241056
Persistent link: https://www.econbiz.de/10012001545