Z. D. Bai, Y. Q. Yin, Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix, The Annals of Probability, Vol. 21, No. 3 (Jul., 1993), pp ...

Using all available data on the 1983 CRSP tapes, we compute sample covariance matrices of returns in sequentially larger portfolios of securities. Analyzing their eigenvalues, we find evidence that ...