GRS F-Test or Gibbons, Ross and Shanken (1989)
Posted: Fri Apr 08, 2016 7:36 am
Hi all,
Does any of you have an idea about how high the value of GRS should be in the test of models such as Fama French. I got the F-test at around 9-10 but when look at the literature most people report below 5. I am a bit confused as I am new to this area.
Thanks,
QH
Does any of you have an idea about how high the value of GRS should be in the test of models such as Fama French. I got the F-test at around 9-10 but when look at the literature most people report below 5. I am a bit confused as I am new to this area.
Thanks,
QH