Some Exact Results for an Asset Pricing Test Based on the Average *F* Distribution

Affiliation(s)

School of Economics, Sungkyunkwan University, Seoul, South Korea.

Trinity College, University of Cambridge, Cambridge, UK.

School of Economics, Sungkyunkwan University, Seoul, South Korea.

Trinity College, University of Cambridge, Cambridge, UK.

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.

We provide some exact results for an asset pricing theory test statistic based on the average

Cite this paper

S. Hwang and S. E. Satchell, "Some Exact Results for an Asset Pricing Test Based on the Average*F* Distribution," *Theoretical Economics Letters*, Vol. 2 No. 5, 2012, pp. 435-437. doi: 10.4236/tel.2012.25080.

S. Hwang and S. E. Satchell, "Some Exact Results for an Asset Pricing Test Based on the Average

References

[1] J. Affleck-Graves and B. McDonald, “Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics,” Journal of Financial and Quantitative Analysis, Vol. 25, No. 2, 1990, pp. 163-185. doi:10.2307/2330822

[2] S. Hwang and S. E. Satchell, “Testing Linear Factor Models on Individual Stocks Using the Average F Test,” European Journal of Finance, Forthcoming. doi:10.1080/1351847X.2012.717097

[3] M. Gibbons, S. Ross and J. Shanken, “A Test of the Efficiency of a Given Portfolio,” Econometrica, Vol. 57, No. 5, 1989, pp. 1121-1152. doi:10.2307/1913625

[4] D. W. K. Andrew and W. Ploberger, “Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative,” Econometrica, Vol. 62, No. 6, 1994, pp. 1383-1414. doi:10.2307/2951753

[5] P. C. B. Phillips, “The True Characteristic Function of the F Distribution,” Biometrika, Vol. 69, No. 1, 1982, pp. 261-264.

[6] K. M. Abadir, “An Introduction to Hypergeometirc Functions for Economists,” Econometric Review, Vol. 18, No. 3, 1999, pp. 287-330. doi:10.1080/07474939908800447

[7] A. Erdélyi, “Higher Transcendental Functions,” Mc. Graw-Hill, New York, 1953.

[8] A. Stuart and K. Ord, “Kendall’s Advanced Theory of Statistics, Volume 1 Distribution Theory,” 6th Edition, Edward Arnold, London, 1994.

[9] T. Pham-Gia and N. Turkkan, “Distribution of the Linear Combination of Two General Beta Variables and Applications,” Communication in Statistics; Theory and Methods, Vol. 27, No. 7, 1998, pp. 1851-1869. doi:10.1080/03610929808832194

[1] J. Affleck-Graves and B. McDonald, “Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics,” Journal of Financial and Quantitative Analysis, Vol. 25, No. 2, 1990, pp. 163-185. doi:10.2307/2330822

[2] S. Hwang and S. E. Satchell, “Testing Linear Factor Models on Individual Stocks Using the Average F Test,” European Journal of Finance, Forthcoming. doi:10.1080/1351847X.2012.717097

[3] M. Gibbons, S. Ross and J. Shanken, “A Test of the Efficiency of a Given Portfolio,” Econometrica, Vol. 57, No. 5, 1989, pp. 1121-1152. doi:10.2307/1913625

[4] D. W. K. Andrew and W. Ploberger, “Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative,” Econometrica, Vol. 62, No. 6, 1994, pp. 1383-1414. doi:10.2307/2951753

[5] P. C. B. Phillips, “The True Characteristic Function of the F Distribution,” Biometrika, Vol. 69, No. 1, 1982, pp. 261-264.

[6] K. M. Abadir, “An Introduction to Hypergeometirc Functions for Economists,” Econometric Review, Vol. 18, No. 3, 1999, pp. 287-330. doi:10.1080/07474939908800447

[7] A. Erdélyi, “Higher Transcendental Functions,” Mc. Graw-Hill, New York, 1953.

[8] A. Stuart and K. Ord, “Kendall’s Advanced Theory of Statistics, Volume 1 Distribution Theory,” 6th Edition, Edward Arnold, London, 1994.

[9] T. Pham-Gia and N. Turkkan, “Distribution of the Linear Combination of Two General Beta Variables and Applications,” Communication in Statistics; Theory and Methods, Vol. 27, No. 7, 1998, pp. 1851-1869. doi:10.1080/03610929808832194