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

Table 7

Candidate models’ ability to explain the anomalies jointly.

	t-Distribution		Normal distribution
	LR statistic	-value	GRS statistic	-value
Q	69.97		4.23
FF5	80.97		5.32
FF5CP	77.67		5.93
FF6	85.36		5.64
FF6CP	78.02		6.09
CH3	36.71	0.001	1.88	0.03
CH3 + PMO	24.85	0.05	1.43	0.13
CH3 + ILLIQ	21.85	0.11	1.38	0.16