Just Bet Against Everything?
November 9, 2017 - Equity Premium
Is there an effective Betting Against Alpha (BAA) strategy analogous to the widely used Betting Against Beta (BAB) strategy? In his October 2017 paper entitled “Betting Against Alpha”, Alex Horenstein investigates relationships between stock 1-factor (market), 4-factor (market, size, book-to-market, momentum) alpha and 5-factor (profitability and investment instead of momentum) alphas and future stock returns. He specifies… Keep Reading