Before revision: The purpose of this paper is to test the multi-factor beta model implied by the generalized arbitrage pricing theory ( APT)and the Adaptive Multi-Factor (AMF ) model with the Groupwise Interpretable Basis Selection (GIBS) algorithm , without imposing the exogenous assumption of constant betas.
After revision: The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory ( APT)and the Adaptive Multi-Factor (AMF ) model with the Groupwise Interpretable Basis Selection (GIBS) algorithm , without imposing the exogenous assumption of constant betas.