  In recent years, there has been considerable research on testing alphas in
high-dimensional linear factor pricing models. In our study, we introduce a
novel max-type test procedure that performs well under sparse alternatives.
Furthermore, we demonstrate that this new max-type test procedure is
asymptotically independent from the sum-type test procedure proposed by Pesaran
and Yamagata (2017). Building on this, we propose a Fisher combination test
procedure that exhibits good performance for both dense and sparse
alternatives.
