Journal article
Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test
Review of Pacific basin financial markets and policies, v 22(1), pp 1950001-1-1950001-34
01 Mar 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines relative performance of alternative asset pricing models using individual security returns. The standard multivariate test used in studies comparing the performance of asset pricing models requires the number of stocks to be less than the number of time series observations, which requires grouping stocks into portfolios. This results in a loss of disaggregate stock information. We apply a different statistical test to overcome this problem and to investigate relative performance of alternative asset pricing models using individual security returns instead of portfolio returns. Our findings suggest that a parsimonious six-factor model that includes the momentum and orthogonal value factors outperforms all other models based on a number of measures as well as the average F-test. Unlike the standard multivariate test, we find that the average F-test has superior power to discriminate among competing models and does not reject all tested models.
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Details
- Title
- Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test
- Creators
- Shafiqur Rahman - State Street Global AdvisorsMatthew J. Schneider - Drexel University
- Publication Details
- Review of Pacific basin financial markets and policies, v 22(1), pp 1950001-1-1950001-34
- Publisher
- World Scientific
- Number of pages
- 34
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Decision Sciences (and Management Information Systems)
- Web of Science ID
- WOS:000463237100001
- Scopus ID
- 2-s2.0-85062235199
- Other Identifier
- 991019169014004721
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InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Web of Science research areas
- Business, Finance