Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China

Table 4

Multivariate distributional tests.

	Skewness	-value		Kurtosis	-value
		H0: Normal	H0: t		H0: Normal	H0: t
Factors	25.59	<0.01	0.99	284.42	<0.01	0.99
Anomalies	134.31	<0.01	0.17	605.03	<0.01	0.65