---
title: Robust Testing of Risk Premia
url: https://www.ml-quant.com/papers/repec/oup-jfinec-v-21-y-2023-i-2-p-263-297/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:oup:jfinec:v:21:y:2023:i:2:p:263-297.
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1093%2Fjjfinec%2Fnbac010%3Bh%3Drepec%3Aoup%3Ajfinec%3Av%3A21%3Ay%3A2023%3Ai%3A2%3Ap%3A263-297.
featured: 2024-03-06
citations: unknown
topic: Asset Pricing & Factors
---


# Robust Testing of Risk Premia

The article introduces new tests for risk premia in linear factor models that are robust to small sample sizes and weak identification of risk premia, and revisits two empirical applications to show differences from traditional tests.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1093%2Fjjfinec%2Fnbac010%3Bh%3Drepec%3Aoup%3Ajfinec%3Av%3A21%3Ay%3A2023%3Ai%3A2%3Ap%3A263-297.
- Identifier: RePEc:oup:jfinec:v:21:y:2023:i:2:p:263-297.
- Released: 2023-02-05
- First featured: Quant Letter No. 39 (2024-03-06): https://www.ml-quant.com/issues/2024-03-06/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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