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Yes, those are probably the variables that predict the better the stock market return. However, the OOS evidence is usually weak. Goyal & Welch provide a good summary on predictors: http://rfs.oxfordjournals.org/content/21/4/1455.abstract


Portfolio behaving like a small cap portfolio is not necessarily a small cap portfolio. Your regression shows the appearance, not the fundamentals.


You have started a huge job, an enormous number of anomalies have been reported. The web site quantpedia.com has a list, here for example is their writeup on momentum effect in stocks


The best overview I have seen so far is this paper which lists 214 (!) factors (or anomalies if you like) on over one hundred (!) pages: …and the Cross-Section of Expected Returns by Harvey, C. et al., Feb. 2015: Abstract: Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive ...

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