Title: Anomaly or risk factor? Some simple tests
Authors: Abraham Lioui - EDHEC Business School (France) [presenting]
Michael Weber - Chicago Booth (United States)
Benjamin Holcblat - University of Luxembourg (Luxembourg)
Abstract: Hundreds of factors predicting cross-sectional returns have been discovered. We develop simple tests to assess whether risk can explain the predicting power of these factors. Our tests account for all kinds of risk disliked by risk-averse individuals, including high-order moments and tail risk. Our tests do not rely on the validity of a factor model nor other parametric statistical model.