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| Author: | Affleck-Graves, J. McDonald, B. |
| Title: | Multivariate tests of asset pricing: the comparative power of alternative statistics |
| Journal: | Journal of Financial and Quantitative Analysis
1990 : JUNE, VOL. 25:2, p. 163-185 |
| Index terms: | ASSET VALUATION MULTIVARIATE ANALYSIS STATISTICAL METHODS |
| Language: | eng |
| Abstract: | Examination of multivariate tests of asset pricing, related to constraint and multivariate statistics vs. univariate counterpart. GRS asymptotic theory. Alternatives to GRS statistic. Simulation design. Data and simulation parameters. Results. Alternative statistics. Additional tests. 8 Tables illustrate the study and the Appendix covers the maximum entropy statistic. |
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