Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
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3 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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2026 3verdicts
UNVERDICTED 3representative citing papers
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
citing papers explorer
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Anatomy of the Market: A Body-Tail Test of Factor Models
Body-tail decomposition of the market portfolio shows that q5 alone produces offsetting leg alphas and falls below its market baseline despite strong spanning performance.
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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.
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RankGLU: Residual Gated Score Formation for Cross-Sectional Stock Prediction
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.