Nonsynchronous Data and the Covariance-Factor Structure of Returns
Nonsynchronous Data and the Covariance-Factor Structure of Returns
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异步数据和返回的协方差因子结构
DOI：
10.1111/j.1540-6261.1987.tb02565.x
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发表时间：
1987
影响因子：
8
通讯作者：
Jay Shanken
中科院分区：
文献类型：
--
作者：
Jay Shanken
证据表明，标准估计的协方差矩阵的每日收益率提供了一个扭曲的观点，真正的协方差因子结构。另一种估计，价格调整延迟过程的模型的基础上，揭示了大约两倍多的协变在个别证券回报。确定的因素的数量也似乎增加时，采用这种估计。由于估计的因子载荷向量所跨越的线性空间对所使用的估计量非常敏感，因此在APT的通常两阶段实证调查中考虑一致估计量是很重要的。
Evidence is presented that indicates that the standard estimator of the covariance matrix of daily returns provides a distorted view of the true covariance-factor structure. An alternative estimator, based on a model of the price-adjustment delay process, reveals roughly twice as much covariation in individual security returns. The number of factors identified also appears to increase when this estimator is employed. Since the linear space spanned by the estimated factor-loading vectors is quite sensitive to the estimator used, it is important that the consistent estimator be considered in the usual two-stage empirical investigations of the APT.