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Activity Number:
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474
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #308954 |
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Title:
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Testing the Equivalence of Regressions for the Capital Asset Pricing Models
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Author(s):
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Hubert J. Chen*+ and Jevons Lee and Li-Wei You
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Companies:
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National Cheng Kung University and Zhejiang University and National Cheng Kung University
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Address:
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1 University Road, Tainan, 70101, Taiwan
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Keywords:
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equivalence ; studentized range ; mutual funds ; level and power ; portfolios
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Abstract:
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A studentized range statistic is proposed for testing the hypothesis of equivalence of alpha intercepts and beta slopes for the capital asset pricing regression models against any given alternative hypothesis of inequivalence. Both the level and the power of the proposed test associated with these hypotheses are obtainable at their corresponding least favorable mean configurations (LFMC). It can be seen that the level and the power at their LFMCs are completely independent of the unknown parameters. Therefore, for a given level and a given power, the critical value and the required sample size for the test can be simultaneously determined. Application to a real example on US largest mutual funds is demonstrated.
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