In two papers in 1986 and 1988, Connor and Korajczyk proposed an approach to modeling asset returns. Since these time series have usually more assets than time period observations, they proposed to perform a PCA on cross-sectional covariances of asset returns. They call this method Asymptotic Principal Component Analysis (APCA, which is rather confusing, since the audience thinks immediately of asymptotic properties of PCA).
I have worked out the equations, and the two approaches seem numerically equivalent. The asymptotics of course differ, since convergence is proved for $N \rightarrow \infty$ rather than $T \rightarrow \infty$. My question is: has anyone used APCA and compared to PCA? Are there concrete differences? If so, which ones?