AI & Algo Trading

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Small-Minus-Big Predicts Betting-Against-Beta: Implications for International Equity Allocation and Market Timing

blog.edarchimbaud.com

Small-Minus-Big Predicts Betting-Against-Beta: Implications for International Equity Allocation and Market Timing

edarchimbaud
Sep 6, 2023
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Small-Minus-Big Predicts Betting-Against-Beta: Implications for International Equity Allocation and Market Timing

blog.edarchimbaud.com
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Original paper

SSRN-id3227047.pdf

Trading rules

  • Investment universe consists of stocks of the 24 developed markets covered by AQR factors

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