High-dimensional test for alpha in linear factor pricing models with sparse alternatives
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DOI: 10.1016/j.jeconom.2021.07.011
Abstract: Abstract We consider the problem of testing for the presence of alpha in Linear Factor Pricing Models. We propose a novel test of the max-of-squares type, which is designed to deal with the high dimensionality… read more here.
Keywords: factor pricing; alpha linear; test; linear factor ... See more keywords