论文标题
使用自适应多因素模型的时间传播系数测试
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
论文作者
论文摘要
本文的目的是测试由自适应多因素（AMF）模型估计的Beta系数的时间传不同。 AMF模型由广义套利定价理论（GAPT）暗示，这意味着恒定的β系数。 AMF模型利用可解释的基础选择（GIB）算法来识别所有交易ETF中的相关因素。我们将AMF模型与FAMA-FRENCH 5因子（FF5）模型进行了比较。我们表明，在几乎所有时间段的长度不到6年的时间内，Beta系数对于AMF模型来说是时间不变，但对于FF5模型而言不是时间不变。这意味着与FF5模型相比，具有滚动窗口的AMF模型（例如5年）与已实现的资产回报更一致。
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta coefficients. The AMF model utilizes a Groupwise Interpretable Basis Selection (GIBS) algorithm to identify the relevant factors from among all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5) 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. This implies that the AMF model with a rolling window (such as 5 years) is more consistent with realized asset returns than is the FF5 model.
