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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4 Pith papers cite this work. Polarity classification is still indexing.
4
Pith papers citing it
years
2026 4verdicts
UNVERDICTED 4representative citing papers
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
citing papers explorer
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Anatomy of the Market: A Body-Tail Test of Factor Models
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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Which Portfolios? The Construction Dependence of Factor Model Performance
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
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RankGLU: Residual Gated Score Formation for Cross-Sectional Stock Prediction
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
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The Value of Information: A Puzzle
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.