When Equity Factors Drop Their Shorts-Reference-Cited by-同舟云学术

When Equity Factors Drop Their Shorts

Published:2020-09-03 Issue:4 Volume:76 Page:73-99
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Blitz David¹,Baltussen Guido²,van Vliet Pim³

Affiliation:

1. David Blitz is managing director of Quantitative Investments at Robeco Asset Management, Rotterdam, the Netherlands.

2. Guido Baltussen is professor of finance at Erasmus School of Economics, Erasmus University, Rotterdam, the Netherlands, and executive director of Quantitative Investments at Robeco Asset Management, Rotterdam, the Netherlands.

3. Pim van Vliet is managing director of Quantitative Investments at Robeco Asset Management, Rotterdam, the Netherlands.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2020.1779560

Reference56 articles.

1. Downside Risk

2. The Cross-Section of Volatility and Expected Returns

3. The Business Ethics of Short Selling and Naked Short Selling

4. Value and Momentum Everywhere

5. Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

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