A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
因子调整的多重检验程序及其共同基金筛选应用
In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-adjusted p-values in a linear factor model involving some observable and unobservable factors, for the purpose of selecting skilled funds in empirical finance. The factor-adjusted p-values were obtained after extracting the latent common factors by the principal component method. Under some mild conditions, the false discovery proportion can be consistently estimated even if the…