AI 中文总结
将帽轴积分诊断扩展到一般特征轴，以桥接阿尔法曲线衡量因子模型定价误差，通过预定特征阶生成前缀投资组合等方法，发现价值、盈利性等轴有系统符号反转。
AI 中文摘要
本文将帽轴积分诊断扩展到一般特征轴，并将因子模型定价误差度量为桥接阿尔法曲线。预定的特征阶生成前缀投资组合；减去等暴露的汇总投资组合得到由截止p索引的零投资桥。原假设不是对选定十分位数的逐点阿尔法检验，而是对由特征阶生成的受限子空间的零曲线限制。在1967 - 2024年CRSP数据中，价值、盈利能力、投资和动量轴显示出系统的符号反转。HML和CMA显著过度校正，而RMW和UMD在很大程度上使它们的轴变平。轴级定价误差几乎与最大夏普收益正交。
英文摘要
I propose a cap-axis zero-alpha diagnostic for factor-model evaluation. Whole-stock capitalization prefixes are paired with equal realized exposure to the aggregate market, producing a bridge-alpha curve that localizes pricing errors within the market. Finite-grid HAC-Gaussian inference and residual-block calibration provide size-controlled functional tests. In 1967--2024 CRSP data, q5's negative daily bridge attenuates under lead--lag correction and is small monthly, whereas Fama-French and Carhart bridges become more visible monthly. Across 155 factors, cap-axis magnitude is neither a monotone transformation of maximum-Sharpe gain nor explained by exposure to FF3 SMB.
CommentsIt is no longer AAAA, but the paper has grown up a little
