Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs-Reference-Cited by-同舟云学术

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Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs

Published:2016-09 Issue:5 Volume:72 Page:58-82
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Beck Noah¹,Hsu Jason²,Kalesnik Vitali³,Kostka Helge⁴

Affiliation:

1. Noah Beck is senior researcher in equity research, Research Affiliates, LLC, Newport Beach, California.

2. Jason Hsu is chairman and CEO of Rayliant Global Advisors, Hong Kong.

3. Vitali Kalesnik is partner and head of equity research, Research Affiliates, LLC, Newport Beach, California.

4. Helge Kostka is CIO of Maseco LLP, London.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v72.n5.6

Reference59 articles.

1. The Market Impact of Passive Trading

2. Illiquidity and stock returns: cross-section and time-series effects

3. The illiquidity premium: International evidence

4. Can Noise Create the Size and Value Effects?

5. Asness, Clifford S. 1994. “Variables That Explain Stock Returns.” PhD dissertation, University of Chicago.

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3. Can average skewness really predict financial returns? The euro area case;Finance Research Letters;2023-03

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