@article{Distribution-Free:1578,
      recid = {1578},
      author = {Gungor, Sermin and Luger, Richard},
      title = {Testing Linear Factor Pricing Models with Large  Cross-Sections: A Distribution-Free Approach},
      address = {2010},
      pages = {1 online resource (59 pages)},
      abstract = {We develop a finite-sample procedure to test the  beta-pricing representation of linear factor pricing models  that is applicable even if the number of test assets is  greater than the length of the time series. Our  distribution-free framework leaves open the possibility of  unknown forms of non-normalities, heteroskedasticity,  time-varying correlations, and even outliers in the asset  returns. The power of the proposed test procedure increases  as the time-series lengthens and/or the cross-section  becomes larger. This stands in sharp contrast to the usual  tests that lose power or may not even be computable if the  cross-section is too large. Finally, we revisit the CAPM  and the Fama-French three factor model. Our results  strongly support the mean-variance efficiency of the market  portfolio.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1578},
      doi = {https://doi.org/10.34989/swp-2010-36},
}