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

Table 6

Candidate models’ ability to explain the factors in each other.

	Other models’ ability to explain CH3 + ILLIQ		CH3 + ILLIQ’s ability to explain the other models
	LR statistic	-value	LR statistic	-value
Q	65.45		4.36	0.23
FF5	75.80		6.12	0.19
FF5CP	77.51		5.19	0.27
FF6	86.28		8.84	0.12
FF6CP	86.66		8.67	0.12
CH3 + PMO	17.18		1.40	0.24