Digesting Anomalies: An Investment Approach

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Product market competition, R&D investment, and stock returns (2016, methodology): “10I thank Chen Xue for sharing with me the time series of the factors in the Hou, Xue, and Zhang (2015) q-factor model.”
The cross-section of labor leverage and equity returns (2016, positive): “To test the model, we follow the procedure in Hou et al. (2015) and run the factor regressions given by”
Volatility‐Managed Portfolios (2017, background): “Black (1972), Jensen et al. (1972) and more recently Frazzini and Pedersen (2014) show that leverage constraints can distort the risk-return trade-off in the cross-section.”
Hedging Climate Change News (2019, neutral): “man (2017), and Roll and Srivastava (2018). Giglio and Xiu (2018) study the asymptotic properties of the different estimators in large cross-sections, and investigate their robustness to model specification errors.”
A five-factor asset pricing model (2013, background): “Leaning on Huberman and Kandel (1987), the first proposes that the mean-variance-efficient tangency portfolio, which prices all assets, combines the riskfree asset, the market portfolio, SMB, HML, RMW, and CMA. The more ambitious interpretation proposes (5) as the regression equation for a version o”
The Investment Manifesto (2013, positive): “This strategy is exactly what Hou et al. (2012) pursue by using investment-to-capital and profitability to forecast returns.”