Factor Zoo Shrinking?
April 5, 2023 - Equity Premium
How does the U.S. stock return factor zoo, corrected for data snooping bias, change over time? In their March 2023 draft paper entitled “Useful Factors Are Fewer Than You Think”, Bin Chen, Qiyang Yu and Guofu Zhou tackle this question by asking: How many of 207 published factors remain significant after controlling for false discovery… Keep Reading