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Gibbons, M · 1989 · arXiv stable/1913625

2 Pith papers cite this work. Polarity classification is still indexing.

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q-fin.GN 2

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A Cap-Axis Integral Diagnostic of Factor Models

q-fin.GN · 2026-07-02 · unverdicted · novelty 6.0

Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.

Anatomy of the Market: A Body-Tail Test of Factor Models

q-fin.GN · 2026-06-22 · unverdicted · novelty 6.0 · 2 refs

Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.

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Showing 2 of 2 citing papers after filters.

  • A Cap-Axis Integral Diagnostic of Factor Models q-fin.GN · 2026-07-02 · unverdicted · none · ref 3

    Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.

  • Anatomy of the Market: A Body-Tail Test of Factor Models q-fin.GN · 2026-06-22 · unverdicted · none · ref 1 · 2 links

    Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.