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. The intercept (arbitrage) tests validate both the AMF and the Fama-French 5-factor (FF5) model.
After 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 to identify the relevant factors from among all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5) model.