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Multifactor Market Indexes

Author

Listed:
  • Wei Liu

    (USAA Bank, San Antonio, TX 78288, USA)

  • James W. Kolari

    (Department of Finance, Mays Business School, Texas AM University, College Station, TX 77843, USA)

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.

Suggested Citation

  • Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:155-:d:782906
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