Research Article
Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China
Table 8
Candidate models’ ability to explain the anomalies: univariate tests.
| | Alpha (%) under t-Distribution | Alpha (%) under normal distribution | CH3 + ILLIQ | CH3 + PMO | CH3 | CH3 + ILLIQ | CH3 + PMO | CH3 |
| ABTURN | 0.36 | 0.33 | 1.00 | 0.41 | 0.30 | 1.14 | MV | 0.27 | 0.24 | 0.33 | 0.32 | 0.34 | 0.35 | TURN | 0.08 | −0.25 | −0.69 | 0.05 | −0.20 | −0.62 | ROE | 0.41 | 0.62 | 0.44 | 0.30 | 0.34 | 0.29 | STD | −0.24 | −0.52 | 0.08 | 0.03 | −0.19 | 0.33 | MAX | −0.29 | −0.43 | 0.05 | −0.24 | −0.39 | 0.14 | SP | 0.44 | 0.14 | 0.25 | 0.76 | 0.57 | 0.48 | BETA | 0.01 | −0.10 | −0.34 | 0.07 | 0.04 | −0.20 | CHMOM | 0.27 | 0.23 | 0.03 | −0.12 | −0.02 | −0.40 | EP | 0.19 | 0.11 | 0.02 | 0.13 | 0.15 | 0.02 | GP | 0.23 | 0.28 | 0.35 | 0.39 | 0.35 | 0.50 | IVOL | 0.01 | 0.03 | −0.28 | −0.44 | −0.48 | −0.44 | PRCDEL | −0.18 | −0.14 | −0.39 | −0.09 | −0.04 | −0.22 | REV | 0.11 | −0.11 | 0.28 | −0.06 | −0.30 | 0.30 | Z | 0.09 | 0.24 | 0.29 | 0.06 | 0.15 | 0.38 |
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Note. , , and denote significance at 1%, 5%, and 10%, respectively. |