Factor Models Robustness
Research shows that the robustness of factor models changes with factor formation breakpoints, with extreme sorts yielding higher returns and centered breakpoints resulting in less risk.
Featured in No. 38 on 21 Feb 2024 ·
- Released
- 9 Jul 2023
- First featured
- No. 38 · 21 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
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- Identifier
- RePEc:wsi:qjfxxx:v:13:y:2023:i:04:n:s2010139223500118
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