Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
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3 Pith papers cite this work. Polarity classification is still indexing.
3
Pith papers citing it
fields
q-fin.GN 3years
2026 3verdicts
UNVERDICTED 3representative citing papers
Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
citing papers explorer
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A Cap-Axis Integral Diagnostic of Factor Models
Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
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Anatomy of the Market: A Body-Tail Test of Factor Models
Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.
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Which Portfolios? The Construction Dependence of Factor Model Performance
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.