Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
This paper examines estimation issues associated with multivariate tests of asset pricing. Two issues are considered: (1) the constraint that the sample size (<italic>N</italic>) must be less than the time series (<italic>T</italic>), and (2) the relative effect on power of using the multivariate statistic versus a univariate counterpart. We find that an alternative statistic that allows for large <italic>N</italic> does not dominate the usual portfolio tests. More notably, we find that the power of a simple diagonal statistic usually dominates the multivariate statistic for cases considered in this study.
Year of publication: |
1990
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Authors: | Affleck-Graves, John ; McDonald, Bill |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 25.1990, 02, p. 163-185
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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