Analyzing the Performance of Multifactor Investment Strategies under a Multiple Testing Framework

Kendro Vincent; Yu-Chin Hsu; Hsiou-Wei Lin

doi:10.3905/jpm.2018.44.4.113

Analyzing the Performance of Multifactor Investment Strategies under a Multiple Testing Framework

Kendro Vincent, Yu-Chin Hsu and Hsiou-Wei Lin

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 113-126; DOI: https://doi.org/10.3905/jpm.2018.44.4.113

Kendro Vincent

is a postdoctoral fellow in the Institute of Economics at Academia Sinica in Taipei, Taiwan

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Yu-Chin Hsu

is an associate research fellow in the Institute of Economics at Academia Sinica in Taipei, Taiwan, and an associate professor in the Department of Finance at National Central University in Taoyuan, Taiwan

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Hsiou-Wei Lin

is a professor in the Department of International Business at the National Taiwan University in Taipei, Taiwan, and Tunghai University in Tunghai, Taiwan

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Analyzing the Performance of Multifactor Investment Strategies under a Multiple Testing Framework