Before revision: The purpose of this paper is to test a multi-factor modelfor realized returns implied by the generalized arbitrage pricing theory (APT) recently developed by Jarrow and Protter (2016) and Jarrow (2016).
After revision: The paper proposes a new high-dimensional algorithm, the Groupwise Interpretable Basis Selection (GIBS) algorithm to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the generalized arbitrage pricing theory (APT) recently developed by Jarrow and Protter (2016) and Jarrow (2016).