Table 8 GRS test of factor models under different trends.

From: A factor pricing model based on double moving average strategy

 

GRS

PGRS

Avg. |α|

Avg. |t|

Sh2(f)

2002–2005

 Three Factor

0.998

0.490

0.831

1.372

0.747

 Four Factor

0.770

0.714

0.742

1.254

0.900

 Six Factor

0.531

0.914

0.353

0.838

1.284

2005–2008

     

 Three Factor

0.732

0.745

0.853

0.741

0.355

 Four Factor

1.127

0.399

1.201

0.963

0.594

 Six Factor

0.939

0.554

0.872

0.821

0.678

2010–2014

     

 Three Factor

1.614

0.160

0.517

0.792

0.351

 Four Factor

1.475

0.214

0.465

0.760

0.388

 Six Factor

1.240

0.340

0.315

0.656

0.508

2015.6–2020.6

     

 Three Factor

1.844

0.071

0.433

0.922

0.039

 Four Factor

1.682

0.108

0.355

0.805

0.092

 Six Factor

1.446

0.194

0.304

0.830

0.137

  1. In this table, GRS statistics, P-value of GRS, Avg. |α|, Avg. |t|, and of three, four- and our six- factor models are displayed in different bearish and bullish markets. The three factors are Mkt, SMB, and VMG. The four factors are three factors plus PMO. The six factors are four-factor plus SCL(1,3) and SCL(1,12). Samples are from Jan 2002 to June 2020.
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