Testing for alpha in linear factor pricing models with a large number of securities*

HIGHLIGHTS

• who: JEL classification C and collaborators from the Department of Economics, University of Southern California, Los Angeles, USA, Trinity College have published the research work: Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities*, in the Journal: (JOURNAL)
• what: The authors focus on class of tests that are based on Student`s t-tests of individual securities which have a number of advantages over the existing standardized Wald type tests and propose a test procedure that allows for non-Gaussianity and general forms of weakly cross-correlated errors. The authors . . .
  

   

  

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