Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return … errors) is applied to all securities in the S&P 500 index with 60 months of return data at the end of each month over the …-values of the J_{α,2} test and the returns of long/short equity strategies relative to the return on S&P 500 over the period …

Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return … months of return data at the end of each month over the period September 1989-September 2011. Statistically significant … relative to the return on S&P 500 over the period December 2006 to September 2011, suggesting that abnormal profits are earned …