The Review of Financial Studies, Vol. 34, No. 1 (January 2021), pp. 149-193 (45 pages) We analyze the out-of-sample performance of variables shown to forecast future mutual fund alphas. The degree of ...
Equity factors like value, momentum, and low-risk have been robust and persistent for over 150 years, dispelling concerns about data mining and performance decay. The study extends the CRSP dataset ...
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