Double bootstrap methods are used to control the overall significance level of a battery of diagnostic tests applied to a regression model estimated by ordinary least squares. Monte Carlo evidence on the finite sample performance of the bootstrap methods is reported and discussed

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...