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Improved economic categories for predictors #140

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chenandrewy opened this issue Dec 15, 2023 · 0 comments
Open

Improved economic categories for predictors #140

chenandrewy opened this issue Dec 15, 2023 · 0 comments
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documentation Improvements or additions to documentation

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@chenandrewy
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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.

@tomz23 tomz23 added enhancement New feature or request documentation Improvements or additions to documentation and removed enhancement New feature or request labels Aug 2, 2024
@tomz23 tomz23 self-assigned this Aug 6, 2024
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