In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account … for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the …

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an … studies, but find no evidence for the 1990's. -- day-of-the-week effect ; multiple hypotheses testing ; multiple comparisons …

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

dependence of bivariate extreme returns. We decompose the testing problem into piecewise multiple comparisons of Cramér-von Mises … individual p-values according to multiple testing techniques. Monte Carlo simulations demonstrate the test's superior finite …

simulations that the tests have good size and reasonable power in finite-sample cases. Implementing our testing procedures on the …

statistical approach in the context of an intersection union test in multiple testing. We document the relevance of coherent tests …