Improving Established Multi-factor Stock-picking Models Is Hard
November 3, 2014 - Big Ideas
Is more clearly better in terms of number of factors included in a stock screening strategy? In the October 2014 draft of their paper entitled “Incremental Variables and the Investment Opportunity Set”, Eugene Fama and Kenneth French investigate the effects of adding to an established multi-factor model of stock returns an additional factor that by itself has power to… Keep Reading