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

• Main Authors: MA, Shujie, LAN, Wei, SU, Liangjun, TSAI, Chih-Ling
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2020
• 主題: Conditional alpha test; High dimensional data; Mean-variance efficiency; Spline estimator; Time-varying coefficient; Econometrics
• 在線閱讀: 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
• 機構: 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...