New Accounting Standards and Factor Investing

By |March 7th, 2022|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Momentum Investing Research, Size Investing Research|

How well do quantitative investors navigate around the changes to the accounting standards that are endemic to the financial data used in quantitative strategies? The numbers reported on financial statements are wholly governed by regulation and by each firm’s interpretation of those accounting standards.  So how do quants stick to their empirical evidence on old data methods or do they react in terms of the strategy when the change in standards is material?

Size, Value, Profitability, and Investment Factors in International Stocks

By |December 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Size Investing Research|

Using data on 65,000 stocks from 23 countries, they evaluated the performance of the Fama-French factors, examining the factor premia in global markets to verify their robustness across different company size categories and geographical regions. Their data sample covered the period 1987-2019.

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