Which Equity Factors Are Predictable?
March 15, 2017 - Equity Premium, Momentum Investing, Size Effect, Value Premium, Volatility Effects
Are the returns of factors widely used to predict the cross-section of stock returns themselves predictable? In the January 2016 draft of his paper entitled “Equity Factor Predictability”, Ulrich Carl analyzes predictability of market, size (market capitalization), value (book-to-market ratio), momentum (returns from 12 months ago to one month ago), low beta (betting against beta) and quality… Keep Reading