Quantocracy’s Daily Wrap for 12/04/2021

Most readers are familiar with p-hacking and the so-called replication crisis in financial research (see here, here, and here for differing views). Some claim that these research challenges are driven by a desire to find positive results in the data because these results get published, whereas negative results do not get published (the evidence backs these claims). But this research project

Great book, I absolutely recommend. Precise and concise (less than 200 pages). This book will especially be useful to grads or analysts in the early stages of their career. A junior analyst/quant/data scientist who masters the content of this book will definitely be useful in a pod of fundamental discretionary portfolio managers and analysts. This book wont teach you anything about how to

An asset-pricing model is a claim about which optimization problem people are solving when they choose their investment portfolios. One way to make such a claim testable is to derive a condition that should hold if people were actually solving this optimization problem. And the standard approach to testing whether an asset-pricing model is correct involves using market data to estimate the key

The current workhorse asset pricing model is the Fama-French five-factor model (2015), which added the profitability and investment factors to their original (1992) three factors of market beta, size, and valueincreasing the models explanatory power. Nusret Cakici and Adam Zaremba contribute to the factor literature with their May 2021 study, Size, Value, Profitability, and Investment