Characteristics or Covariance: Further Evidence
Liu, Lee and Strong (2003) study value investing in equities using a linear factor model. The abstract mentions an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“We show that contrary to results for the US reported in Fama and French (1996) their three-factor model does not explain many cross-sectional return regularities in the UK.”
AssetEquities
StrategyValue investingmacro signals
TechniqueLinear factor model
GeographyUSEurope
Also stated: Fundamentals, Macro, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
AssetEquities89
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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