Factor Betas are Path-Dependent Regression Artifacts: Falsifying Fama-French with 6,560 Controlled Experiments
Burk (2026) studies momentum and trend following in equities using a linear factor model. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Using 6,560 controlled experiments where paired portfolios hold identical stocks with identical weights entered on identical dates-differing only in exit timing-we show that factor loadings fail equivalence tests at an 86% rate.”
AssetEquities
StrategyMomentumseasonality
TechniqueLinear factor model
GeographyEurope
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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