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SignalDoc.csv lists economic categories for predictors. These categories have room for improvement. David Rapach et al (https://ssrn.com/abstract=4628462) have a nice Table 1 describing the categories, and there you can see that "risk" and "risk alt" predictors often measure mispriced risk, so it'd be more clear to label them as something else.
It may be worth applying a published methodology to create the categories.
The text was updated successfully, but these errors were encountered:
SignalDoc.csv lists economic categories for predictors. These categories have room for improvement. David Rapach et al (https://ssrn.com/abstract=4628462) have a nice Table 1 describing the categories, and there you can see that "risk" and "risk alt" predictors often measure mispriced risk, so it'd be more clear to label them as something else.
It may be worth applying a published methodology to create the categories.
The text was updated successfully, but these errors were encountered: