Testing alphas in conditional time-varying factor models with high dimensional assets

• Main Authors: MA, Shujie, LAN, Wei, SU, Liangjun, TSAI, Chih-Ling
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Conditional alpha test; High dimensional data; Mean-variance efficiency; Spline estimator; Time-varying coefficient; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2177; https://ink.library.smu.edu.sg/context/soe_research/article/3176/viewcontent/Ma_Lan_Su_Tse2018_.pdf
• Institution: Singapore Management University

For conditional time-varying factor models with high dimensional assets, this article proposes a high dimensional alpha (HDA) test to assess whether there exist abnormal returns on securities (or portfolios) over the theoretical expected returns. To employ this test effectively, a constant coefficie...