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

March 2019
RA Conversations: The History of the Cross-Section of Stock Returns
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

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CONVERSATION BASED ON:

 The History of the Cross-Section of Stock Returns

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