Assessing goodness-of-fit of asset pricing models: The distribution of the maximal R-2

• 成果类型: Article
• 署名作者: Foster, FD; Smith, T; Whaley, RE
• 署名单位: University of New South Wales Sydney; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04814.x
• 发表日期: 1997
• 页码: 591-607
• 关键词: regression; selection; returns; STOCK; tests; R2

摘要

The development of asset pricing models that rely on instrumental variables together with the increased availability of easily-accessible economic time-series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy task. Because these asset pricing theory tests are not independent, classical methods of assessing goodness-of-fit are inappropriate. This study investigates the distribution of the maximal R-2 when k of m regressors are used to predict security returns. We provide a simple procedure that adjusts critical R-2 values to account for selecting variables by searching among potential regressors.