Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
比较了线性因子模型的两种设定：传统横截面回归法与将因子投影到超额收益上的时间序列法，并研究小样本性质，建议后者可作为替代或补充。
We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM*, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sample properties of estimates and test statistics. We conclude that the LFM* formulation should be considered in addition to, or even instead of, the more traditional LFM formulation.