Frazzini goes French

September 9, 2014

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

A kind reader commented “Don’t know if you have seen it, but Frazzini goes French now too” .  I have profusely thanked and praised Kenneth French for his incredible data library.  Now, it appears I’ll have to repeatedly do the same for Andrea Frazzini. Here is a quick plot of Quality Minus Junk (QMJ) around the world.  The code snippet is below the chart. #ssrn citation to the paper#Asness,

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