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

DOI10.1016/j.jeconom.2021.07.011OpenAlexW3194726807MaRDI QIDQ2673200

Binghui Liu, Yanyuan Ma, Long Feng, Wei Lan

Publication date: 9 June 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.07.011

zbMATH Keywords

high dimensionalitysparse alternativeslinear factor pricing modelsecurities in stock marketstests for alpha

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Power enhancement for testing multi-factor asset pricing models via Fisher's method

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