Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
“We show that for nearly all time periods with length less than 6 years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model.”
AssetEquitiesETFs
StrategyFactor investing
TechniqueLinear factor model
GeographyEurope
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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