Figure A.5:
A diagram of a line graph shows Price of Risk Lambda Estimation with Intercept, T equals 55 and N equals 31, comparing probability to reject lambda equals 0 versus population correlation with true factor.
Description: This figure complements Figure 5 and also estimates the intercept.
Interpretation: All of the considered methods have low power in small samples. Increasing T or reducing N is advisable to get more powerful tests.

FMB-Shanken and GRS-FAR Power Curves With Varying the Risk Factor (Betas): Misspecified Model, Estimation with Intercept, T = 55.

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