Title: Reassessing the evidence on factor and portfolio premia
Authors: Agnieszka Jach - Hanken School of Economics (Finland) [presenting]
Jan Antell - Hanken School of Economics (Finland)
Abstract: Using a previous modelling and estimation framework, we perform a test of the mean ($T_2$ statistic) for a large collection of daily Fama-French factors and portfolio returns, and compare the results with those based on the standard $t$ test. The $T_2$-based results provide clearly weaker evidence in favour of various premia and, in some cases, suggest their absence. On the US market, the discrepancy between the tests is particularly large for the value and momentum factors. Caution should be exercised when assessing the presence of a given premium with the $t$ test.