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Vivek Viswanathan - Quant Equity in China (S4E10)

Flirting with Models

CHAPTER

Current and Future Profitability

The current and future profitability category encompasses almost every signal in existence besides size and value. Even low volatility positively predicts, presumably because firms that have growing earnings are less likely to exhibit market volatility as they are further away from default. There's an entire other class of signals, which includes everything from high frequency trading signals to short turm reversal and co skewness. But critically, this is a tax on me for quants. It aids in organizin our research. And i'm not the first person who realizes mc lean, pontiff and engelberg wrote a paper in 20 18 called anomalies and noose,. They found that stock return anomalies were six times higher on earnings asom

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