Does Academic Research Destroy Stock Return Predictability?
BeginnerLFTEmpiricalFree to readTestable with your data
Anomaly returns are lower out of sample and lower still after publication. Expect alpha found in papers to decay.
At a glance
- Level
- Beginner: No prior microstructure or stochastic calculus needed
- Horizon
- LFT
- Data needed
- Daily bars Set what data you have
- Themes
- Factors & momentumBacktesting
- Assets
- Equities
- Market
- US