When do systematic strategies decay?

Name

When do systematic strategies decay .pdf

Description

Published version

Size

1.13 MB

Format

Adobe PDF

Checksum (MD5)

9cb5d95f0e4368cc7ca5264015e77b4f

Original SWORD entry document

Author(s)

Falck, Antoine

•

Rej, Adam

•

Thesmar, David

Date Issued

August 8, 2022

Journal

Quantitative Finance

Publisher

Taylor & Francis

Citation

Falck, A., Rej, A., & Thesmar, D. (2022). When do systematic strategies decay? Quantitative Finance, 22(11), 1955–1969.

Version

Final published version

Abstract

Published anomalies evaluated outside the data sample deliver about 50% of in-sample performance.

MIT Department

Sloan School of Management

Terms of Use

Creative Commons Attribution-NonCommercial-NoDerivatives

Persistent DSpace Link

DOI of Published Version

https://doi.org/10.1080/14697688.2022.2098810