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Some Exact Results for an Asset Pricing Test Based on the Average <i>F</i> Distribution
School of Economics, Sungkyunkwan University, Seoul, South Korea
Trinity College, University of Cambridge, Cambridge, UK
- 1 School of Economics, Sungkyunkwan University, Seoul, South Korea
- 2 Trinity College, University of Cambridge, Cambridge, UK
Theoretical Economics Letters·Volume 02 (2012)·Pages 435–437·Published 19 December 2012·DOI10.4236/tel.2012.25080
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Abstract
We provide some exact results for an asset pricing theory test statistic based on the average F distribution. This test is preferred to existing procedures because it deals with the case of more assets than data points. The case mentioned is the practical one that asset managers routinely have to consider.
KeywordsAverage <i>F</i>distributionAsset Pricing
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