This is a summary of links featured on Quantocracy on Friday, 07/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Research Review | 8 July 2022 | Factor Investing [Capital Spectator]Investing in Deflation, Inflation, and Stagflation Regimes Guido Baltussen (Erasmus University Rotterdam), et al. July 2022 We examine asset class and factor premiums across inflationary regimes. As periods of high inflation and deflation are relatively uncommon in recent history, we use a deep sample starting in 1875. Moderate inflation scenarios provide the highest returns across asset class and
Does Intangible-Adjusted Book-to-Market Work? [Alpha Architect]Recent research shows that B/M is losing explanatory power (Asness et al. 2015, Fama-French 2015, Hou et al. 2015). Some have theorized that the decrease in effectiveness in B/M is due to the increasingly large value of intangible assets. Forty years ago the market was dominated by Kodak, General Electric, and Xerox all companies with huge manufacturing businesses with book values built on piles
Debt/Equity vs Debt/EBITDA [Quant Dare]We all know that the more indebted a company is, the greater the risk of bankruptcy. But what is really the best way to measure this indebtedness? In this post we will compare two of the best known leverage ratios: Debt/Equity (Debt-to-Equity) and Net Debt/EBITDA (Net Debt-to-EBITDA). Leverage Ratios Leverage ratios are financial metrics used to measure the level of debt a company has incurred and