Research Library

Equity Factor Research

A guided tour through the empirical asset pricing literature — from classic factors to the replication crisis. Each entry covers economic intuition, key papers, and honest out-of-sample survival evidence.

Strong OOS survivalModerate OOS survivalMixed OOS evidenceWeak OOS survival

Momentum

Strong

Stocks that have risen keep rising — for a while.

IS Sharpe 0.6 – 1.0OOS Sharpe 0.4 – 0.7Turnover HighCapacity Mid-cap

Earnings Revisions & SUE

Momentum

Moderate

Markets underreact to earnings news. Drift persists for months.

IS Sharpe 0.5 – 0.8OOS Sharpe 0.2 – 0.5Turnover Very highCapacity Small-cap

Value / Carry

Value

Value / Carry

Mixed

Cheap stocks outperform expensive ones — on average, over long horizons.

IS Sharpe 0.4 – 0.8OOS Sharpe 0.1 – 0.4Turnover LowCapacity Large-cap

Carry

Value / Carry

Strong

High-yield assets outperform low-yield assets across almost every market.

IS Sharpe 0.4 – 0.7OOS Sharpe 0.3 – 0.6Turnover LowCapacity Large-cap

Quality

Quality / Profitability

Quality

Strong

Profitable, conservatively financed firms earn persistently higher returns.

IS Sharpe 0.5 – 0.9OOS Sharpe 0.3 – 0.6Turnover LowCapacity Large-cap

Risk-Based

Low Volatility

Risk-Based

Strong

Boring stocks win. The high-volatility premium is inverted.

IS Sharpe 0.4 – 0.7OOS Sharpe 0.3 – 0.5Turnover LowCapacity Large-cap

Structural

Size

Structural

Weak

Small-cap stocks earn a premium — but it has nearly vanished.

IS Sharpe 0.3 – 0.6OOS Sharpe 0.0 – 0.2Turnover LowCapacity Small-cap

Liquidity

Structural

Moderate

Illiquid stocks earn a premium for being hard to trade.

IS Sharpe 0.4 – 0.7OOS Sharpe 0.2 – 0.4Turnover MediumCapacity Small-cap

The Factor Zoo & Replication Crisis

Structural

Weak

With 400+ published factors, most are likely false discoveries.

IS Sharpe 0.3 – 0.9 (varies widely)OOS Sharpe −0.1 – 0.3 (post-publication average)Turnover HighCapacity Small-cap

Where to go next

Anomaly Graveyard

Pre- and post-publication Sharpe ratios for canonical anomalies, with live sparklines.

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