Experimental Design in Tests of Linear Factor Models
指出在线性因子模型的横截面检验中，选择不同的资产组合（实验设计）可能导致因子载荷共线性，从而降低检验效力；提出诊断共线性的方法，并用现有检验实例说明其价值，最后通过实验验证诊断的有效性。
For various reasons, cross-sectional tests of linear factor models have employed the returns on portfolios of assets (as opposed to individual securities). There is a good deal of flexibility in how one goes about choosing which portfolios to examine (the experimental design). This article points out that some choices can lead to collinearity among factor loadings with potentially harmful consequences for power. A diagnostic procedure for detecting collinearity is discussed, and several illustrations of the procedure on existing tests of linear factor models are used to illustrate their value to the researcher. Finally, a series of experiments is carried out to validate the diagnostics and to confirm their assessment of the experimental design in the models examined.