Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
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.
A tuple consisting of the test statistic and the corresponding p-Value drawn from an F distribution.