Katherine Glass-Hardenbergh - All About Alternative Data (S2E9)
Flirting with Models
The Opposite of Traditional Factors in Arbitrage
A lot of your traditional value quality momentum type factors work a lot better in the small cap space because they're either under covered or there's actual liquidity implementation costs that create these sort of limits to arbitrage do you find the same effect to be true with alternative data? i think there's a really interesting caveat to alternative data that almost makes it that the opposite could be true and the reason is because of data availability bigger companies tend to leave much larger data footprints. Small caps on the other hand just by virtue of being so much smaller aren't necessarily going to have that kind of coverage.
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