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The null that the intercepts are zero is tested for 5\u2010year, 10\u2010year and longer sub\u2010periods. The conventional HAR test with asymptotic <jats:italic>P<\/jats:italic>\u2010values rejects the null for most 5\u2010year and 10\u2010year sub\u2010periods. By contrast, the null is not rejected by the new HAR tests. This conflict is explained by showing that inferences based on the conventional HAR test are misleading for the sample sizes used in this application. Copyright \u00a9 2007 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.972","type":"journal-article","created":{"date-parts":[[2007,8,30]],"date-time":"2007-08-30T11:47:01Z","timestamp":1188474421000},"page":"91-109","source":"Crossref","is-referenced-by-count":15,"title":["The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three\u2010factor Fama\u2013French asset\u2010pricing model"],"prefix":"10.1002","volume":"23","author":[{"given":"Surajit","family":"Ray","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"N. 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