Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets-Reference-Cited by-同舟云学术

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Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets

Published:2024-03-06 Issue: Volume: Page:1-11
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Ma Huifang¹,Feng Long¹,Wang Zhaojun¹,Bao Jigang²³

Affiliation:

1. School of Statistics and Data Science, KLMDASR, LEBPS, and LPMC, Nankai University, Tianjin, China

2. Tsinghua Shenzhen International Graduate School, Tsinghua University, Beijing, China

3. Shenzhen Wukong Investment Management Co. Ltd., Shenzhen, China

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2313543

Reference47 articles.

1. CAPM over the long run: 1926–2001

2. Testing conditional factor models

3. A penalized two-pass regression to predict stock returns with time-varying risk premia

4. Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors

5. Two-sample test of high dimensional means under dependence

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