SteffenGue / GRS_Test

Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)

GRS_Test

Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)

Inputs

The functions expects:

• A TxK np.array of residuals from an OLS of assets on common risk factors,
• A Kx1 np.array of intercepts from an OLS of assets on common risk factors,
• A TxJ np.array of risk factors.

T: The time series dimension, K: Assets, J: Risk Factors.

Output

A tuple consisting of the test statistic and the corresponding p-Value drawn from an F distribution.