RA Conversations: The History of the Cross-Section of Stock Returns

Recorded March 13, 2019

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The History of the Cross-Section of Stock Returns

 

Juhani Linnainmaa cautions investors to be wary of alpha decay in newly discovered factors. Using fresh, pre-discovery data, his out-of-sample analysis shows about half of the many factors tested were not robust.

 

Juhani Linnainmaa, PhD

Partner & Advisor, Research Affiliates
Professor, USC Marshall School of Business

 

Brent Leadbetter, CFA

Senior Vice President, Client Strategies, Research Affiliates

 

Conversation based on:
The History of the Cross-Section of Stock Returns
By Juhani T. Linnainmaa and Michael R. Roberts
October 2005

READ in SSRN
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