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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| 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 |