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

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...

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Bibliographic Details
Main Authors: MA, Shujie, LAN, Wei, SU, Liangjun, TSAI, Chih-Ling
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
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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
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Institution: Singapore Management University
Language: English

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