Tag: stats-for-alpha-research
Concepts
- Abnormal Return Tests and the BMP Statistic
- Diagnosing Cross-Sectional Signal Regressions
- Hit-Rate Inference for Directional Signals
- How Outlier Treatment Changes Cross-Sectional t-Statistics
- Microcap Influence on Cross-Sectional Test Statistics
- Portfolio Sort Versus Regression Evidence
- t-Statistics Under Fat-Tailed Returns
- The IC t-Statistic and Its Pitfalls
- Value-Weighted Versus Equal-Weighted Cross-Sectional Regressions