Explaining the single factor bias of arbitrage pricing models in finite samples

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 1
Pages: 85-88

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper shows that in finite samples it is not possible to distinguish all the latent factors from the idiosyncratic noise and that this leads to a bias towards the identification of a single factor. It provides an approximation to this bias and the corresponding sampling distribution.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:1:p:85-88
Journal Field
General
Author Count
1
Added to Database
2026-01-25