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<p>In recent years, there has been considerable research on testing alphas in high-dimensional linear factor pricing models. In this study, the authors introduce a novel max-type test procedure that performs well under sparse alternatives. Furthermore, the authors demonstrate that this new max-type test procedure is asymptotically independent from the sum-type test procedure proposed by Pesaran and Yamagata (2024). Building on this, the authors propose a Fisher combination test procedure that exhibits good performance for both dense and sparse alternatives.</p>

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Adaptive Strategy of Testing Alphas in High Dimensional Linear Factor Pricing Models

  • 期刊论文

  • 发表日期：

    2026年5月6日

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  • Chenxi Zhao,
  • Ping Zhao,
  • Long Feng,
  • Zhaojun Wang

摘要

In recent years, there has been considerable research on testing alphas in high-dimensional linear factor pricing models. In this study, the authors introduce a novel max-type test procedure that performs well under sparse alternatives. Furthermore, the authors demonstrate that this new max-type test procedure is asymptotically independent from the sum-type test procedure proposed by Pesaran and Yamagata (2024). Building on this, the authors propose a Fisher combination test procedure that exhibits good performance for both dense and sparse alternatives.