Kavli Affiliate: Feng Long| Summary: We consider testing zero pricing errors in high-dimensional linear factor pricing models. Existing methods are mainly based on either an $L_2$ statistic, which is effective under dense alternatives, or an $L_infty$ statistic, which is powerful under very sparse alternatives. To bridge these two regimes, we develop a class of $L_q$-based […]
Continue.. High dimensional alpha test for linear factor pricing model with $L_q$-norm