Quantocracy’s Daily Wrap for 05/24/2017

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 K-Factor Model? [Alex Chinco]

    Imagine youre a financial economist who thinks that some risk factor,{\color{white}i}f_t, explains the cross-section 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 risk-based or a behavioral anomaly. In our book, Your Complete Guide to Factor-Based Investing, my co-author 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.


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May 25, 2017 at 06:47AM


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