… and the cross-section of expected returns

CR Harvey, Y Liu, H Zhu - The Review of Financial Studies, 2016 - academic.oup.com
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 …

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 …

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 …

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 …

A closer look at value premium: Literature review and synthesis

E Pätäri, T Leivo - Journal of Economic Surveys, 2017 - Wiley Online Library
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 …

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 …

[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 …

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 …

Value versus glamour

J Conrad, M Cooper, G Kaul - The Journal of Finance, 2003 - Wiley Online Library
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 …

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 …