3 papers
q-fin.GN2022
Mortgage-Rate-Adjusted Home Prices
Honggao Cao
In this paper, we investigate the impact of mortgage rates on home prices, and how the impact may be used to help property purchase discussions at individual buyer level and to adj…
q-fin.PM2021
Turnover-Adjusted Information Ratio
Feng Zhang, Xi Wang, Honggao Cao
In this paper, we study the behavior of information ratio (IR) as determined by the fundamental law of active investment management. We extend the classic relationship between IR a…
q-fin.CP2020
Information Coefficient as a Performance Measure of Stock Selection Models
Feng Zhang, Ruite Guo, Honggao Cao
Information coefficient (IC) is a widely used metric for measuring investment managers' skills in selecting stocks. However, its adequacy and effectiveness for evaluating stock sel…