Bibliographic record
Abstract
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross‐sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure of discrepancy in the estimated jump factor loadings of the assets at consecutive jump times. Under the null hypothesis, the discrepancy in the factor loadings is due to a measurement error, which shrinks with the increase of the sampling frequency, while under an alternative of a noisy jump factor model this discrepancy contains also nonvanishing firm‐specific shocks. The limit behavior of the test under the null hypothesis is nonstandard and reflects the strong‐dependence in the cross‐section of returns as well as their heteroskedasticity which is left unspecified. We further develop estimators for assessing the magnitude of firm‐specific risk in asset prices at the factor jump events. Empirical application to S&P 100 stocks provides evidence for exact one‐factor structure at times of big market‐wide jump events.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.012 | 0.035 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.002 |
| Bibliometrics | 0.002 | 0.001 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.003 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.002 | 0.002 |
| Insufficient payload (model declined to judge) | 0.006 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".