Guides

Guides

Short answers to the questions this project keeps running into, each backed by the same replication the site is built on.

• Do stock-market factors still work after publication?
  The average published premium falls ~75%. Why, and which ones held up.
• Is the value premium dead?
  Not dead — about half its textbook size, with decade-long painful stretches.
• What is the factor zoo?
  400+ published return predictors, and why a t-stat of 2 isn't enough for any of them.
• Does momentum still work?
  One of the few anomalies that hasn't decayed — its real risk is sudden crashes, not fading.
• Is the small-cap premium real?
  The clearest decay story in the catalog — a t-stat of 1.60 and a near-zero return since 1981.