… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu, Heqing Zhu · 2016 · Review of Financial Studies

IntermediateLFTMethodFree to read

With hundreds of factors already tested, a new one needs a t-statistic above about 3, not 2. Multiple-testing hygiene for strategy research.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Backtesting Factors & momentum
Assets: Equities
Market: Global

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@article{harvey2016cross, author = {Harvey, Campbell R. and Liu, Yan and Zhu, Heqing}, title = {{… and the Cross-Section of Expected Returns}}, journal = {Review of Financial Studies}, year = {2016}, doi = {10.1093/rfs/hhv059} }