Certain literature that constructs a multifactor stock selection model adopted a weighted-scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weights of stock-picking concepts and portfolio performances. Second, it cannot provide...

Certain literature that constructs a multifactor stock selection model adopted a weighted‑scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weights of stock‑picking concepts and portfolio performances. Second, it cannot provide...

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i. e. , regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and...