The High-Frequency Factor Zoo
Aleti (2022) studies factor investing in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“I estimate the continuous and semijump risk premia for each of these factors and find that jump and semijump risk are often priced and command a larger risk premia than continuous risk.”
AssetEquitiessingle stocks
StrategyFactor investing
FrequencyIntraday
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
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Multifactor Explanations of Asset Pricing Anomalies by Fama and French | 1996 | ||||
| Intraday Market Return Predictability Culled from the Factor Zoo by Aleti et al. | 2023 | ||||
| A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by Kamdem | 2026 | ||||
| Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides by Malakhov | 2026 | ||||
| The Efficient Cross-Section is Sparse: Factor Timing and the Dimension of the SDF by Mehrabinia | 2026 |