Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive alpha. There are now so many that economist John Cochrane, in his 2011 presidential address to the American Finance Association, referred to them as the “factor zoo,” which I hit [...]
International Tests of Factor Anomalies: Most Don’t Survive was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.