Söderlind, PaulPaulSöderlind2023-04-132023-04-132015https://www.alexandria.unisg.ch/handle/20.500.14171/107531A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.enworking paper