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

Note. , , and denote significance at 1%, 5%, and 10%, respectively.