Application of the Multivariate Average F-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns

DOI10.1142/9789811202391_0010zbMath1452.91319OpenAlexW3081115185MaRDI QIDQ5139394

Shafiqur Rahman, Matthew J. Schneider

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0010

zbMATH Keywords

asset pricing size investment profitability momentum factor models liquidity risk factor loadings market portfolio book-to-market GRS test multivariate \(F\)-test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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