Rev Account Stud (2013) 18:731–733 DOI 10.1007/s11142-013-9237-8 Discussion of ‘‘The supraview of return predictive signals’’ Peter Algert Published online: 31 July 2013 Springer Science+Business Media New York 2013 JEL Classiﬁcation G12 G14 Green, Hand and Zhang have collected the most extensive database to date on return predictive signals (RPS) research results. They assert a number of ﬁndings, but three are most relevant. The ﬁrst is that RPS discovery is continuing at an undiminished pace. This is good news for both practitioners and academics interested in the ﬁeld. The second is the discussion of academic ‘‘n-factor’’ models for risk control and what the standard should be for determining the signiﬁcance of future RPS. The third is the general ﬁnding that stock returns are either ‘‘pervasively inefﬁcient’’ or that many more priced factors exist than had previously been understood. This note discusses the ﬁrst two brieﬂy and then focuses on the ﬁndings on the returns to RPS strategies. The authors document that the number of new RPS discovered each year has not diminished over time, nor has their in-sample Sharpe ratio. To use a resources analogy, the ocean either has a lot of ﬁsh in it, or technology is more
Review of Accounting Studies – Springer Journals
Published: Jul 31, 2013
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