Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
研究资产定价多元检验中的估计问题，比较了多元统计量与单变量统计量的检验效力，发现允许大样本的替代统计量并不优于通常的投资组合检验，而简单对角统计量的效力通常优于多元统计量。
This paper examines estimation issues associated with multivariate tests of asset pricing. Two issues are considered: (1) the constraint that the sample size (N) must be less than the time series (T), and (2) the relative effect on power of using the multivariate statistic versus a univariate counterpart. We find that an alternative statistic that allows for large N does not dominate the usual portfolio tests. More notably, we find that the power of a simple diagonal statistic usually dominates the multivariate statistic for cases considered inthis study.