Low Power of Alpha Tests When Factors Are Constructed From Sorted Portfolios

Keyphrases

• Low Power 100%
• Factor Model 66%
• Test Statistic 33%
• High Probability 33%
• Statistical Test 33%
• Asset Pricing 33%
• High Power 33%

Mathematics

• Low Power 100%
• Test Statistic 33%
• Null 33%
• Alternative Hypothesis 33%
• High Power 33%
• Statistical Test 33%
• Probability 33%

Economics, Econometrics and Finance

• Factor Model 100%
• Asset Pricing 50%