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What Our Product Does
to forecast the expected return on individual stocks. While risk-factor models had been around for some time (Barra), this article introduced the relatively more powerful expected return-factor models to the literature in finance. The model interfaces the various elements of an individual company's profile (its risk, liquidity, financial structure, profitability, price history, and analysts estimates) with projected payoffs to these elements in order to obtain an estimate of the company's expected return for the next month.
