Annaert, Jan; Campenhout, Geert Van - In: Review of Finance 11 (2007) 4, pp. 633-661
Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong...