Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847
We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...
