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

Table 5

Redundancy tests for the factors in CH3 + ILLIQ.

	(1)	(2)	(3)	(4)
	ILLIQ	MKT	SMB-CH	VMG
LR statistic	29.57	4.06	3.85	71.83
-value	<0.01	0.04	0.05	<0.01