GRS.test (version 1.0)

GRS.MLtest: GRS Test Statistic and p-value based on Maximum Likelihood Estimator for Covariance matrix

Description

W statistic given in (7) of GRS (1989)

Usage

GRS.MLtest(ret.mat, factor.mat)

Arguments

ret.mat

portfolio return matrix, T by N

factor.mat

matrix of risk factors, T by K

Value

Details

T: sample size, N: number of portfolio returns, K: number of risk factors

References

Gibbons, Ross, Shanken, 1989. A test of the efficiency of a given portfolio, Econometrica, 57,1121-1152.

See Also

Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.

Fama and French, 2015, A five-factor asset-pricing model, Journal of Financial Economics, 116-1-22.

Examples

data(data)
factor.mat = data[1:342,2:4]            # Fama-French 3-factor model
ret.mat = data[1:342,8:ncol(data)]      # 25 size-BM portfolio returns
GRS.MLtest(ret.mat,factor.mat)          # See column (iv), Table 9C of Fama-French (1993)