When do systematic strategies decay?

Author(s)
Falck, Antoine; Rej, Adam; Thesmar, David
Thumbnail
DownloadPublished version (1.134Mb)
Publisher with Creative Commons License
Terms of use
Creative Commons Attribution-NonCommercial-NoDerivatives https://creativecommons.org/licenses/by-nc-nd/4.0/
Metadata
Show full item record
Abstract
Published anomalies evaluated outside the data sample deliver about 50% of in-sample performance.
Date issued
2022-08-08
URI
https://hdl.handle.net/1721.1/163650
Department
Sloan School of Management
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
Collections