We have just released the 2023 update of testing portfolios at the q-data library. Please see:
global-q.org/testingportfolios.html We are happy to report that our "Replicating Anomalies" article has recently surpassed 1,000 cites on Google Scholar: https://scholar.google.com/citations?view_op=view_citation&hl=en&user=jjX1n8kAAAAJ&citation_for_view=jjX1n8kAAAAJ:8eKeg6BV7vYC Among the newly released data, one statistic jumps out. Averaging across the 32 anomalies in the value-versus-growth category, the high-minus-low decile earns an average return of 32.14% in 2022. In my June-2021 vlog: "The Value Premium," at the time when many were wondering whether the value premium has disappeared, I wrote that the value premium should recover. The conjecture was based on the causal asymmetry mechanism worked out in my thesis. I wrote on my blog: "To invoke Karl Popper, this prediction is highly falsifiable. Time will tell." Time has just told, it seems. Such causal structure is what we are going after via theorizing (scientific modeling). No number of of 3-, 5-, and 6-factor regressions can get you anywhere close.
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Lu Zhang
An aspiring worldly philosopher Archives
April 2024
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