Equity Factor Census
April 9, 2019 - Big Ideas, Investing Expertise
Should investors trust academic equity factor research? In their February 2019 paper entitled “A Census of the Factor Zoo”, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top academic journals and working papers through January 2019, including a link to citation and download information. They distinguish among six types of common factors and five types of firm characteristic-based factors. They also explore incentives for factor discovery and reasons why many factors are lucky findings that exaggerate expectations and disappoint in live trading. Finally, they announce a project that allows researchers to add published and working papers to the database. Based on their census of published factors and analysis of implications, they conclude that: Keep Reading