Concepedia

Factor Robustness Testing

Factor Robustness Testing is a methodological framework in factor investing that evaluates the consistency and reliability of asset pricing factors across varying time periods, geographic markets, economic regimes, and model specifications to distinguish genuine predictive signals from spurious or context-specific empirical artifacts.

15

Publications

1K

Citations

36

Authors

28

Institutions

Publications per year

2017–2026

6

Parents

Publications

15

Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

Frederick H. deB. Harris, Thomas H. McInish, R.J.K. Wood · Journal of Financial Markets · 2002 · 316 citations

, , +9

On The Robustness Of Factor Analysis Against Crude Classification Of The Observations

Ulf Olsson · Multivariate Behavioral Research · 1979 · 211 citations

, , +12

Robust factor analysis for compositional data

Peter Filzmoser, Karel Hron, Clemens Reimann et al. · Computers & Geosciences · 2009 · 165 citations

, , +11

On the Robustness of the Roll and Ross Arbitrage Pricing Theory

D. Chinhyung Cho, Edwin J. Elton, Martin J. Gruber · Journal of Financial and Quantitative Analysis · 1984 · 60 citations

, , +16

On the robustness of the Fama and French multifactor model: Evidence from France, Germany and United Kingdom

Mirela Malin, Madhu Veeraraghavan · 2004 · 45 citations

, , +15

1–5 of 15

Authors

36

  1. TH
    Thomas H. McInish

    University of Memphis, United States

    1 publications · 316 citations

    1

    h-index

  2. JD
    Jens Dick‐Nielsen

    Copenhagen Business School, Denmark

    1 publications · 19 citations

    1

    h-index

  3. MV
    Mathieu Vaissié

    Ecole des Hautes Etudes Commerciales du Nord, France

    1 publications · 16 citations

    1

    h-index

  4. KH
    Karel Hron

    Palacký University Olomouc, Czechia

    1 publications · 165 citations

    1

    h-index

  5. JT
    Julian Thimme

    Karlsruhe Institute of Technology, Germany

    1 publications · 11 citations

    1

    h-index

1–5 of 36

Institutions

28

  1. University of Neuchâtel

    Neuchâtel, Switzerland

    1 h-index

    1 publications

    11 citations

  2. Kennesaw State University

    Kennesaw, United States

    1 h-index

    1 publications

    12 citations

  3. Geological Survey of Norway

    Trondheim, Norway

    1 h-index

    1 publications

    165 citations

  4. Macquarie University

    Sydney, Australia

    1 h-index

    1 publications

    23 citations

  5. University of Groningen

    Groningen, The Netherlands

    1 h-index

    1 publications

    12 citations

  6. Ludwig-Maximilians-Universität München

    Munich, Germany

    1 h-index

    2 publications

    50 citations

  7. Ecole des Hautes Etudes Commerciales du Nord

    Roubaix, France

    1 h-index

    3 publications

    48 citations

  8. New York University

    New York, United States

    1 h-index

    1 publications

    19 citations

1–8 of 28

Venues

  1. SSRN Electronic Journal

    Repository · 2 publications · 30 citations

    2

    h-index

  2. Journal of Financial and Quantitative Analysis

    JFQA · 1 publications · 60 citations

    1

    h-index

  3. Computers & Geosciences

    CAGEO · 1 publications · 165 citations

    1

    h-index

  4. Review of Accounting and Finance

    1 publications · 23 citations

    1

    h-index

  5. Behaviormetrika

    1 publications · 25 citations

    1

    h-index

1–5