Author(s)

Soosung Hwang, Stephen E. Satchell

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

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.

Average F distribution; Asset Pricing

S. Hwang and S. E. Satchell, "Some Exact Results for an Asset Pricing Test Based on the Average F Distribution," Theoretical Economics Letters, Vol. 2 No. 5, 2012, pp. 435-437. doi: 10.4236/tel.2012.25080.