tag:blogger.com,1999:blog-7905515.post4647729012420251954..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Is the Fama-French Model Dead?Eric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-7905515.post-35772853492336670082020-02-04T23:58:51.162-06:002020-02-04T23:58:51.162-06:00it didn't make the journal until 2015. 2 years...it didn't make the journal until 2015. 2 years between SSRN and journal pub is pretty standard.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-22207050278761677432020-02-04T21:24:48.614-06:002020-02-04T21:24:48.614-06:00Wasn't the FF 5 factor model paper posted in 2...Wasn't the FF 5 factor model paper posted in 2013? That's what it says on SSRN:<br /><br />https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202Garrettnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-20211558523462228382020-02-04T11:47:58.508-06:002020-02-04T11:47:58.508-06:00I'd say variants of the Barra model are like K...I'd say variants of the Barra model are like Keynesian macro models. They create a way to talk about issues in a formal way, and are common among practitioners. You have to learn them to play the game. They don't help you generate alpha, however, just as the Keynesian models don't help you steer an economy. Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-73592202386055856692020-02-04T09:11:27.871-06:002020-02-04T09:11:27.871-06:00This comment has been removed by the author.Your nightmarehttps://www.blogger.com/profile/14403217877115684826noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-17554557171907622202020-01-29T10:28:07.646-06:002020-01-29T10:28:07.646-06:00As noted, current factor strategists are in a pick...As noted, current factor strategists are in a pickle, because they all probably have a value factor at play. For me the key is to use factors that have a good theory behind them, theory you can validate on data outside of equity returns. Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-59636627008302587692020-01-28T23:04:07.766-06:002020-01-28T23:04:07.766-06:00So whats the alternative?So whats the alternative?JoeMachttps://www.blogger.com/profile/12650518988624821388noreply@blogger.com