Systematic factors have multiplied like rabbits since the 1990s and many of these factors are redundant or not simply a result of data snooping. As Campbell Harvey and his colleagues have shown a long time ago, only three factors in the literature are statistically so significant that they are above suspicion. But that is a different question than asking how many and which factors we need to use to cover the entire factor zoo. How many factors can we get away with? This is what
How many factors do you really need?
How many factors do you really need?
How many factors do you really need?
Systematic factors have multiplied like rabbits since the 1990s and many of these factors are redundant or not simply a result of data snooping. As Campbell Harvey and his colleagues have shown a long time ago, only three factors in the literature are statistically so significant that they are above suspicion. But that is a different question than asking how many and which factors we need to use to cover the entire factor zoo. How many factors can we get away with? This is what