GRS.test (version 1.0)

GRS.test-package: \Sexpr[results=rd,stage=build]{tools:::Rd_package_title("#1")}GRS.testGRS Test for Portfolio Efficiency and Its Statistical Power Analysis

Description

\Sexpr[results=rd,stage=build]{tools:::Rd_package_description("#1")}GRS.testComputational resources for test proposed by Gibbons, Ross, Shanken (1989).

Details

The DESCRIPTION file: \Sexpr[results=rd,stage=build]{tools:::Rd_package_DESCRIPTION("#1")}GRS.testThis package was not yet installed at build time.

\Sexpr[results=rd,stage=build]{tools:::Rd_package_indices("#1")}GRS.test Index: This package was not yet installed at build time.

The package accompanies the working paper:

Kim and Shamsuddin, 2016, Reapparaising Empirical Validity of Asset-Pricing Models with Consideration of Statistical Power

The function GRS.test returns the GRS test statistics with model estimation results.

The function GRS.MLtest provides an alternative test statistic with theta and theta* estimation results.

Additional functions for the power analysis are also included.

References

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

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.

See Also

The examples replicate the results reported in Fama and French (1993) and Kim and Shamsuddin (2016)

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   # Table 9C of Fama-French (1993)

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