Gregory Connor
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Gregory Connor has a total of 4 co-authors. Here are the top co-authors by number of shared publications:
- Robert A. Korajczyk
Northwestern University - Kellogg School of Management
2 shared publications - Matthias Hagmann
Oxford‐Man Institute, University of Oxford, Eagle House, Oxford, OX2 65D U.K. and AHL
1 shared publication - Oliver B. Linton
University of Cambridge
1 shared publication - Robert T. Uhlaner
McKinsey & Co., San Francisco, CA 94104, USA
1 shared publication
Latest Publications
- 1 April 2015
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 50 (4) , 825-842
A Synthesis of Two Factor Estimation Methods
Two-pass cross-sectional regression (TPCSR) is frequently used in estimating factor risk premia. Recent papers argue that the common practice of grouping assets into portfolios to reduce the errors-in-variables (EIV) problem leads to loss of efficiency and masks potential deviations from asset pricing models. One solution that allows the use of individual assets while overcoming the EIV problem is iterated TPCSR (ITPCSR). ITPCSR converges to a fixed point regardless of the initial factors chosen. ITPCSR is intimately linked to the asymptotic principal components (APC) method of estimating factors since the ITPCSR estimates are the APC estimates, up to a rotation.
- 1 April 2015
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 50 (4) , 825-842
A Synthesis of Two Factor Estimation Methods
Two-pass cross-sectional regression (TPCSR) is frequently used in estimating factor risk premia. Recent papers argue that the common practice of grouping assets into portfolios to reduce the errors-in-variables (EIV) problem leads to loss of efficiency and masks potential deviations from asset pricing models. One solution that allows the use of individual assets while overcoming the EIV problem is iterated TPCSR (ITPCSR). ITPCSR converges to a fixed point regardless of the initial factors chosen. ITPCSR is intimately linked to the asymptotic principal components (APC) method of estimating factors since the ITPCSR estimates are the APC estimates, up to a rotation.
- Top Cited Papers
- 1 January 2012
- Published by The Econometric Society in Econometrica
- Vol. 80 (2) , 713-754
Efficient Semiparametric Estimation of the Fama-French Model and Extensions
- 1 January 2012
- Published by The Econometric Society in Econometrica
- Vol. 80 (2) , 713-754
Top Cited PapersEfficient Semiparametric Estimation of the Fama-French Model and Extensions
- 1 January 2010
- Published by Springer Nature
- p. 401-418
Factor Models in Portfolio and Asset Pricing Theory
- 1 January 2010
- Published by Springer Nature
- p. 401-418
Factor Models in Portfolio and Asset Pricing Theory