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Low Power of Alpha Tests When Factors Are Constructed From Sorted Portfolios

Joel M. M. Vanden
Year2026
VenueJournal of Financial Econometrics
Typearticle
Citations0
DOI10.1093/jjfinec/nbag013
OpenAlexW7165199312

Topics

Financial Markets and Investment StrategiesMathematicsAlpha (finance)Offset (computer science)StatisticsEconometrics