Pesaran, Hashem; Yamagata, Takashi - 2012
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 …