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

Soosung Hwang, Stephen E. Satchell

School of Economics, Sungkyunkwan University, Seoul, South Korea.
Trinity College, University of Cambridge, Cambridge, UK.

DOI: 10.4236/tel.[phone]                

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.

Keywords

Average F distribution; Asset Pricing

Conflicts of Interest

The authors declare no conflicts of interest.

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