Affleck-Graves, John; McDonald, Bill - In: Journal of Financial and Quantitative Analysis 25 (1990) 02, pp. 163-185
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...