High-dimensional test for alpha in linear factor pricing models with sparse alternatives

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 of the securities and the sparse alternatives. We rigorously show that the proposed test has attrac...

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Veröffentlicht in:	Journal of econometrics 2022-07, Vol.229 (1), p.152-175
Hauptverfasser:	Feng, Long, Lan, Wei, Liu, Binghui, Ma, Yanyuan
Format:	Artikel
Sprache:	eng
Schlagworte:	Alternatives Discriminant analysis High dimensionality Linear factor pricing model Monte Carlo simulation Return on assets Securities in stock markets Securities markets Sparse alternatives Tests for alpha Usefulness
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