Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2
研究在从多个候选变量中挑选预测变量时，最大R²的分布，并给出调整临界值的方法，帮助研究者正确评估资产定价模型的拟合优度。
The development of asset pricing models that rely on instrumental variables together with the increased availability of easily-accessible economic time-series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy task. Because these asset pricing theory tests are not independent, classical methods of assessing goodness-of-fit are inappropriate. This study investigates the distribution of the maximal R2 when k of m regressors are used to predict security returns. We provide a simple procedure that adjusts critical R2 values to account for selecting variables by searching among potential regressors.