Rachel Lee

Vice President

Greenwich, CT

United States

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How Do Factor Premia Vary Over Time? A Century of Evidence

Number of pages: 55 Posted: 17 Jun 2019 Last Revised: 24 Feb 2021
AQR Capital Management, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and Vice President
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Citation 34

Abstract:

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Factor premia, factor timing, multi-asset class, overfitting bias, arbitrage activity