A Quantum Leap in Asset Pricing: Explaining Anomalous Returns
“Out-of-sample analyses of anomaly portfolio returns show that a recently proposed model dubbed the ZCAPM consistently outperforms leading multifactor models in terms of factor loading significance and goodness-of-fit.”
AssetEquities
StrategyFactor investingmachine learning
TechniqueLinear factor modelquantum computing
ClaimExcess return
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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