Small sample rank tests with applications to asset pricing

Guofu Zhou

doi:10.1016/0927-5398(94)00011-5

Small sample rank tests with applications to asset pricing

Guofu Zhou

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

This paper proposes small sample tests for rank restrictions that arise in many asset pricing models, economic fields and others, complementing the usual asymptotic theory which can be unreliable. Using monthly portfolio returns grouped by industry and using two sets of instrumental variables, we cannot reject a one-factor model for the industry returns.

Original language	English
Pages (from-to)	71-93
Number of pages	23
Journal	Journal of Empirical Finance
Volume	2
Issue number	1
DOIs	https://doi.org/10.1016/0927-5398(94)00011-5
State	Published - Mar 1995

Keywords

Asset pricing
Factor model
Rank test
Small sample test

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10.1016/0927-5398(94)00011-5

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abstract = "This paper proposes small sample tests for rank restrictions that arise in many asset pricing models, economic fields and others, complementing the usual asymptotic theory which can be unreliable. Using monthly portfolio returns grouped by industry and using two sets of instrumental variables, we cannot reject a one-factor model for the industry returns.",

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KW - Factor model

KW - Rank test

KW - Small sample test

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Small sample rank tests with applications to asset pricing

Abstract

Keywords

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