Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test by Shafiqur Rahman, Matthew J. Schneider, Gary Antonacci :: SSRN

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The standard multivariate test of Gibbons et al. (1989) commonly used in studies comparing the performance of asset pricing models requires the number of stocks

Source: Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test by Shafiqur Rahman, Matthew J. Schneider, Gary Antonacci :: SSRN