Factors affecting the profitability of long-term investments in stocks and bonds of Russian issuers
A 2019 paper by Abramov, Radygin and Chernova on factor investing in equities, using a linear factor model on a 2011–2018 sample: the abstract mentions profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Most of the premiums for the studied risk factors are significantly different from zero.”
AssetEquitiesbonds
StrategyFactor investing
TechniqueLinear factor model
GeographyEurope
Also stated: 2011–2018, Profit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
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