Quantocracy’s Daily Wrap for 05/24/2017
This is a summary of links featured on Quantocracy on Wednesday, 05/24/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

How Many Assets Are Needed To Test a KFactor Model? [Alex Chinco]Imagine youre a financial economist who thinks that some risk factor,{\color{white}i}f_t, explains the crosssection of expected returns. And, you decide to test your hunch. First, you regress the realized returns of N different assets on{\color{white}i}f_t to estimate each assets exposure to the risk factor, \tilde{b}_n: \begin{equation*} r_{n,t} = \tilde{a}_n + \tilde{b}_n \cdot f_t +

The Value Premium: Risk or Mispricing? [Alpha Architect]One of the great debates in finance is whether the source of the value premium is riskbased or a behavioral anomaly. In our book, Your Complete Guide to FactorBased Investing, my coauthor Andrew Berkin and I present the evidence showing that there are good arguments on both sides. Thus, its likely the answer isnt black or white. For example, we show that the academic research
The post Quantocracy’s Daily Wrap for 05/24/2017 appeared first on Quantocracy.
Algo
via Quantocracy – Quantocracy http://quantocracy.com
May 25, 2017 at 06:47AM
Advertisements