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

March 2019
by Juhani Linnainmaa, Brent Leadbetter

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.

Recorded March 13, 2019