{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T07:59:42Z","timestamp":1790841582941,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper considers testing whether all alphas are zero in high-dimensional linear factor pricing models. Since the power of existing tests depends on the sparsity of the alternative, we construct a family of L-statistics by summing different numbers of the largest squared t-statistics for individual alphas. We then combine the corresponding p-values using the Cauchy method to obtain an adaptive test without specifying the number of nonzero alphas. We derive the limiting null distributions for sums involving a fixed number or a fixed proportion of assets and characterize their power under sparse alternatives and alternatives with individually weak signals. We establish residual multiplier bootstrap validity for fixed-order and proportional-order component tests and assess the adaptive combination numerically. Simulation studies compare the finite-sample size and power with existing alpha tests. Two applications to stock returns from China and the United States illustrate the proposed method.<\/jats:p>","DOI":"10.2139\/ssrn.7546961","type":"posted-content","created":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T07:27:26Z","timestamp":1790839646000},"source":"Crossref","is-referenced-by-count":0,"title":["Adaptive L-Statistic Tests for High-Dimensional Factor Pricing Models"],"prefix":"10.2139","author":[{"given":"Chenxi","family":"Zhao","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Huifang","family":"Ma","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Long","family":"Feng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T07:27:26Z","timestamp":1790839646000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7546961"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7546961","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}