The Low-Minus-High Portfolio and the Factor Zoo
“Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always explain, together with the market, 100% of the cross- sectional variation in returns.”
AssetEquities
StrategyFactor investingvalue investing
Long/shortLong-short
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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