SSRNEconometrics & Forecasting
How Much Data Does an Information Coefficient Need? The Sampling Distribution of a Cross-Sectional IC, and Why Breadth Does Not Buy Precision
Cross-sectional IC volatility has a floor from factor risk that does not shrink with breadth, capping effective sample size at roughly fifty observations.
Featured in No. 138 on 6 Nov 2026 · 3 days after release
- Released
- 3 Nov 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7672859
- Authors
- Himal Naidu
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).