Do factors widely used to model cross-sectional returns of U.S. stocks exhibit reward-for-risk behaviors? In other words, are expected factor returns higher (lower) when factor return volatility is high (low)? In their January 2017 paper entitled “The Risk-Return Tradeoff Among Equity Factors”, Pedro Barroso and Paulo Maio examine reward-for-risk behaviors of the size (small minus big market More
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