Application of the Multivariate Average <i>F</i>-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns (Q5139394)
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scientific article; zbMATH DE number 7283222
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Application of the Multivariate Average <i>F</i>-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns |
scientific article; zbMATH DE number 7283222 |
Statements
Application of the Multivariate Average <i>F</i>-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns (English)
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9 December 2020
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multivariate \(F\)-test
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asset pricing
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factor models
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market portfolio
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size
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book-to-market
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momentum
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investment
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profitability
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liquidity risk
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factor loadings
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GRS test
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