Can you clarify what exactly your concern is? Which of these best describes your position?
Factor premia basically don’t exist.
Factor premia are much smaller than this essay claims.
Factor premia are substantial, but this essay does not do enough to justify that claim, so it’s not a good reference.
Initially I thought you were saying #1, but from your reply below, it sounds like you at least believe that factor premia exist, so now I’m not sure.
Edit: Or I guess a fourth option: factor premia exist, but generally should not be promoted (possibly because most readers will run into the same behavioral biases that cause the premia to exist).
Can you clarify what exactly your concern is? Which of these best describes your position?
Factor premia basically don’t exist.
Factor premia are much smaller than this essay claims.
Factor premia are substantial, but this essay does not do enough to justify that claim, so it’s not a good reference.
Initially I thought you were saying #1, but from your reply below, it sounds like you at least believe that factor premia exist, so now I’m not sure.
Edit: Or I guess a fourth option: factor premia exist, but generally should not be promoted (possibly because most readers will run into the same behavioral biases that cause the premia to exist).
Or something else entirely.