GRS.test (version 1.0)

GRS.test: GRS test and Model Estimation Results

Description

Wu statistic given in (5) of GRS (1989)

The function also provide estimation results for asset pricing models

Usage

GRS.test(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, 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.test(ret.mat,factor.mat)$GRS.stat   # See Table 9C of Fama-French (1993)