They assess robustness across different sample subperiods, past volatility measurement intervals and portfolio holding intervals. (cxoadvisory.com)
Progressions of average returns across quintiles are not systematic and results for subperiods are very different, indicating no exploitable non-linearities. (cxoadvisory.com)
They define the long term (relatively short intervals) as their entire sample period (rolling four - month subperiods). (cxoadvisory.com)