{"product_id":"causal-factor-investing-can-factor-investing-become-scientific-9781009397292","title":"Causal Factor Investing: Can Factor Investing Become Scientific?","description":"\u003cp\u003e\u003c\/p\u003e\u003cblockquote\u003e\n\u003cbr\u003eJournal articles in factor investing literature make associational claims, deny the causal content of factor models, and do not propose experiments for falsifying causal mechanisms. This prevents factor investing from advancing beyond its current phenomenological stage. Solutions are proposed to transform factor investing into a scientific discipline. \u003c\/blockquote\u003e\u003cp\u003e\u003cstrong\u003eFormat\u003c\/strong\u003e: Paperback \/ softback\u003cbr\u003e\u003cstrong\u003eLength\u003c\/strong\u003e: 75 pages\u003cbr\u003e\u003cstrong\u003ePublication date\u003c\/strong\u003e: 09 November 2023\u003cbr\u003e\u003cstrong\u003ePublisher\u003c\/strong\u003e: Cambridge University Press\u003cbr\u003e\u003c\/p\u003e \u003cp\u003e\u003cbr\u003eThe vast majority of journal articles in the field of factor investing assert associational claims, disregarding the underlying causal structure of factor models. Authors fail to identify the specific causal graph that corresponds to the observed phenomenon, instead relying on correlations to justify their chosen model specification. Moreover, they fail to propose experimental designs to test the validity of causal mechanisms. Without a robust causal theory, the findings derived from these studies are highly suspect, as they are prone to backtest overfitting and incorrect specification choices. This element distinguishes between type-A and type-B spurious claims and elucidates how both types hinder the advancement of factor investing beyond its current phenomenological stage. It conducts an in-depth analysis of the current state of causal confusion within the factor investing literature and presents potential solutions aimed at transforming factor investing into a rigorous and scientific discipline. This title is also accessible as Open Access on Cambridge Core.\u003cbr\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eThe vast majority of journal articles in the field of factor investing assert associational claims, disregarding the underlying causal structure of factor models. Authors fail to identify the specific causal graph that corresponds to the observed phenomenon, instead relying on correlations to justify their chosen model specification. Moreover, they fail to propose experimental designs to test the validity of causal mechanisms. Without a robust causal theory, the findings derived from these studies are highly suspect, as they are prone to backtest overfitting and incorrect specification choices. This element distinguishes between type-A and type-B spurious claims and elucidates how both types hinder the advancement of factor investing beyond its current phenomenological stage. It conducts an in-depth analysis of the current state of causal confusion within the factor investing literature and presents potential solutions aimed at transforming factor investing into a rigorous and scientific discipline. This title is also accessible as Open Access on Cambridge Core.\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eWeight\u003c\/strong\u003e: 154g\u003cbr\u003e\u003cstrong\u003eDimension\u003c\/strong\u003e: 152 x 228 x 8 (mm)\u003cbr\u003e\u003cstrong\u003eISBN-13\u003c\/strong\u003e: 9781009397292\u003c\/p\u003e","brand":"Marcos M.Lopez de Prado","offers":[{"title":"Paperback \/ softback","offer_id":44770979774714,"sku":"9781009397292","price":17.14,"currency_code":"GBP","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0522\/4297\/2845\/products\/1699637706390_book.jpg?v=1699978842","url":"https:\/\/shulphink.com\/products\/causal-factor-investing-can-factor-investing-become-scientific-9781009397292","provider":"Shulph Ink","version":"1.0","type":"link"}