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When do systematic strategies decay?

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  • Antoine Falck
  • Adam Rej
  • David Thesmar

Abstract

Published anomalies evaluated outside the data sample deliver about 50% of in-sample performance

Suggested Citation

  • Antoine Falck & Adam Rej & David Thesmar, 2022. "When do systematic strategies decay?," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 1955-1969, November.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:11:p:1955-1969
    DOI: 10.1080/14697688.2022.2098810
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    Cited by:

    1. Daniel Polakow & Tim Gebbie & Emlyn Flint, 2023. "Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference," Papers 2311.16570, arXiv.org, revised Sep 2024.
    2. Daniel Freund & Samuel B. Hopkins, 2023. "Towards Practical Robustness Auditing for Linear Regression," Papers 2307.16315, arXiv.org.

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