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Quantitative Finance · Begrippenlijst

Wat is Post-publication decay?

Definition 13.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 13 — Half-Life, Decay and Stability

The post-publication decay of a predictor is the fall of its return, or its IC, after the study that documented it was published, relative to the period the study could have examined.

Rolling 120-month mean monthly return of the US size, value and momentum factors at each December from 1973, with the years of the papers that published them (dashed). Derived from the Kenneth R. French Data Library (monthly factors, 202607 CRSP file).
Figure 13.3. Rolling 120-month mean monthly return of the US size, value and momentum factors at each December from 1973, with the years of the papers that published them (dashed). Derived from the Kenneth R. French Data Library (monthly factors, 202607 CRSP file).
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