Time Instability of the Fama-French Multifactor Models: An International Evidence
Factor investing in equities, studied by Moriya and Noda in 2024 with a linear factor model. The abstract mentions an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“First, we find that the effectiveness of factors in the FF3 and FF5 models is not stable over time in all countries.”
AssetEquities
StrategyFactor investing
TechniqueLinear factor model
GeographyGlobalUS
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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