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Prof. Eugene Fama (EP.200)

The Rational Reminder Podcast

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Is the Cue Factor Model Really Valuable?

How sure can we be that factor premiums are not simply the product of data dredging? Ah, that's a reallygod question. We're looking for robustness, basically, how to xample the stuff that confirms what you observe in sample. And for that model, we found it everywhere. Pracically the same is to the five factory model. Too much more difficult to go backward in time, because no get good profita bilitig data if you go back much. Now let's look at forin an markets and see if we see the same thing.

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