Slopes as Factors: Characteristic Pure Plays
“The mispricing of these characteristics-based strategies by the four factor model is due in part, but not entirely, to (1) the effect of microcap stocks on the pure play returns and (2) the effect of stale book and market capitalization information on the SMB and HML factors.”
AssetEquities
StrategyMomentumvalue investing
TechniqueLinear factor model
ClaimAlpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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