Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258878 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 4 [Article No.:] 155 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-26
Publisher: 
MDPI, Basel
Abstract: 
This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to the CRSP index; and (2) the resultant multifactor market indexes are significantly priced in cross-sectional tests of associated beta loadings with t-values exceeding 3.0 in most cases.
Subjects: 
market index
market factor
multifactors
efficient portfolios
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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