Quantum mechanics

Factor analysis

Statistics

Time series

Operating system

Computer science

Geology

Paleontology

Section (typography)

Cross section (physics)

Physics

Regression

Mathematics

Econometrics

Series (stratigraphy)

Cross-sectional data

Review of Financial Studies

We use the cross-section regression approach of Fama and MacBeth (1973) to construct cross-section factors corresponding to the time-series factors of Fama and French (2015). Time-series models that use only cross-section factors provide better descriptions of average returns than time-series models that use time-series factors. This is true when we impose constant factor loadings and when we use time-varying loadings that are natural for time-series factors and time-varying loadings that are natural for cross-section factors. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Comparing Cross-Section and Time-Series Factor Models