… and the cross-section of expected returns
Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …
Given this extensive data mining, it does not make sense to use the usual criteria for …
New directions in econometric practice
WW Charemza, DF Deadman - Books, 1997 - ideas.repec.org
The second edition of this widely acclaimed text presents a thoroughly up-to-date intuitive
account of recent developments in econometrics. It continues to present the frontiers of …
account of recent developments in econometrics. It continues to present the frontiers of …
A backtesting protocol in the era of machine learning
RD Arnott, CR Harvey, H Markowitz - Available at SSRN 3275654, 2018 - papers.ssrn.com
Abstract Machine learning offers a set of powerful tools that holds considerable promise for
investment management. As with most quantitative applications in finance, the danger of …
investment management. As with most quantitative applications in finance, the danger of …
Benchmarking for agility
J Sarkis - Benchmarking: An International Journal, 2001 - emerald.com
Agility and agile manufacturing are recent organizational development philosophies that
industry and academia are studying. Benchmarking is a business practice that will aid in the …
industry and academia are studying. Benchmarking is a business practice that will aid in the …
A closer look at value premium: Literature review and synthesis
This paper provides a systematic review of value premium literature that examines the
performance difference between value and growth stocks and the possible reasons for it. We …
performance difference between value and growth stocks and the possible reasons for it. We …
Filter rules based on price and volume in individual security overreaction
M Cooper - The Review of Financial Studies, 1999 - academic.oup.com
I present evidence of predictability in a sample constructed to minimize concerns about time-
varying risk premia and market-microstructure effects. I use filter rules on lagged return and …
varying risk premia and market-microstructure effects. I use filter rules on lagged return and …
[PDF][PDF] Stupid data miner tricks: overfitting the S&P 500
DJ Leinweber - Journal of Investing, 2007 - researchgate.net
It wasn't too long ago that calling someone a data miner was a very bad thing. You could
start a fistfight at a convention of statisticians with this kind of talk. It meant that you were …
start a fistfight at a convention of statisticians with this kind of talk. It meant that you were …
Earnings forecasting in a global stock selection model and efficient portfolio construction and management
JB Guerard Jr, H Markowitz, GL Xu - International Journal of Forecasting, 2015 - Elsevier
Stock selection models often use analysts' expectations, momentum, and fundamental data.
We find support for composite modeling using these sources of data for global stocks during …
We find support for composite modeling using these sources of data for global stocks during …
Value versus glamour
The fragility of the CAPM has led to a resurgence of research that frequently uses trading
strategies based on sorting procedures to uncover relations between firm characteristics …
strategies based on sorting procedures to uncover relations between firm characteristics …
Factor-based investing: The long-term evidence
E Dimson, P Marsh, M Staunton - Journal of Portfolio …, 2017 - search.proquest.com
Factor investing is popular, and its adoption is accelerating. One reason it is increasingly
being embraced is that portfolio return expectations seem to be evidence based. However …
being embraced is that portfolio return expectations seem to be evidence based. However …