Nonsynchronous Data and the Covariance‐Factor Structure of Returns
发现标准日收益协方差矩阵估计量会扭曲真实的因子结构，提出基于价格调整延迟模型的替代估计量，能揭示约两倍的个股协方差，并增加识别出的因子数量，对APT实证研究有重要影响。
ABSTRACT 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.