This is a summary of links featured on Quantocracy on Saturday, 03/12/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Investing Premiums and the Economic Cycle [Alpha Architect]Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, the authors of the 2017 study Fama-French Factors and Business Cycles examined the behavior of six Fama-French factorsmarket beta (MKT), size (SMB), value (HML), momentum (MOM), investment (CMA), and profitability (RMW)across business cycles, splitting them into four