This is a summary of links featured on Quantocracy on Friday, 06/23/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Intangible Value: Modernizing the Factor Portfolio [Alpha Architect]Abstract: The Intangible Value Factor (IHML) can play an additive role in factor portfolios alongside the established market, size, value, quality, and momentum factors. This Six-Factor Model avoids the problematic anti-innovation bias of traditional factor portfolios and can be easily implemented using ETFs. This post is a summary of the recently published paper Intangible Value: A
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Research Review | 23 June 2023 | Forecasting Equity Returns [Capital Spectator]The Realized Information Ratio and the Cross-Section of Expected Stock Returns Mehran Azimi (University of Massachusetts Boston) January 2023 This study investigates the predictability of asset returns with the information ratio and its specific variant, the Sharpe ratio. We find that the realized Sharpe ratio (rsr ) negatively predicts the cross-section of stock returns. The predictability is not
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Attenuation of Anomalies: what role do fundamentals play? [Alpha Architect]The article aims to explore the possibility that changes in fundamentals play a role in the attenuation of stock market anomalies, offering an alternative explanation to the prevailing arbitrage-based explanation. Can the changes in fundamentals explain the attenuation of anomalies? Choi, Lewis and Tan Journal of Financial Economics, 2023 A version of this paper can be found here Want to read our