AI & Algo Trading

Share this post

Beta and Size Equity Premia following a High-VIX Threshold

blog.edarchimbaud.com

Beta and Size Equity Premia following a High-VIX Threshold

edarchimbaud
Sep 9, 2023
∙ Paid
Share this post

Beta and Size Equity Premia following a High-VIX Threshold

blog.edarchimbaud.com
Share

Original paper

SSRN-id2845610.pdf

Trading rules

  • Investment universe includes small-cap and large-cap stocks

This post is for paid subscribers

Already a paid subscriber? Sign in
© 2023 Edouard d'Archimbaud
Privacy ∙ Terms ∙ Collection notice
Start WritingGet the app
Substack is the home for great writing