Journal of Financial and Quantitative Analysis Vol. 25 No. 2 1990
Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
Abstract
This paper examines estimation issues associated with multivariate tests of asset pricing. Two issues are considered: (1) the constraint that the sample size (N) must be less than the time series (T), and (2) the relative effect on power of using the multivariate statistic versus a univariate counterpart. We find that an alternative statistic that allows for large N does not dominate the usual portfolio tests. More notably, we find that the power of a simple diagonal statistic usually dominates the multivariate statistic for cases considered in this study.
- DOI
- 10.2307/2330822
- Volume
- 25
- Issue
- 2
- Pages
- 163
- Sources
- openalex crossref