Non-Linear Factor Investing Internet Appendix
“These non-linear strategies outperform raw anomalies by maintaining consistent profitability after controlling for arbitrage constraints (excluding microcaps), trading costs, recent data (post-2020), and risk adjustments; responding to Chen and Velikov (2023)'s critique of limited out-of-sample validity.”
AssetEquities
StrategyFactor investing
TechniqueSymbolic searchlinear factor model
ClaimExcess returnprofit
Also stated: Fundamentals, out-of-sample test, costs, multiple testing
Missing from abstract: benchmark, universe
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