Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
Title resolution pending
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
fields
q-fin.GN 2years
2026 2representative citing papers
citing papers explorer
-
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.
- Anatomy of the Market: A Body-Tail Test of Factor Models