Vol. 20, No. 1, 2022 by Detelina Vasileva, Larry Norton, Marc Hurlbert and Andrew W. Lo Using survey data gathered from grantees of the nonprofit Breast Cancer Research Foundation (BCRF), we investigated the commercial and non-commercial impacts of their research funding. We found significant impact in both domains. Commercially, 19.5% of BCRF grantees filed patents… Read more
2022
Characteristic-Based Returns: Alpha or Smart Beta?
Vol. 20, No. 1, 2022 by Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl We propose new methodology to construct arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and betas (and, therefore, smart-beta risk premiums). Our methodology gives maximal weight to risk-based interpretations of characteristics’predictive power before any attribution to… Read more
Relevance
Vol. 20, No. 1, 2022 by Megan Czasonis, Mark Kritzman and David Turkington The authors describe a new statistical method for improving forecasting called relevance. They describe their new method from both a conceptual and mathematical perspective, and they show how relevance links regressions to event studies and machine learning algorithms… Read more