Efficient factor investing strategies - A ‘Sharper’ approach to harvesting factor premiums
There is a shift towards allocating to the factor premiums momentum, value and low volatility.
27-08-2014
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リサーチ
What is the best approach to factor investing?
Factor investing is gaining ground.
03-09-2013
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インサイト
Short-term residual reversal
Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors.
17-11-2011
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リサーチ
Taking biases out of earnings revisions
New research from Robeco identifies and corrects for biases in analyst earnings revisions, says Senior Quantitative Equities Researcher, Joop Huij.
08-10-2011
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リサーチ
Another look at trading costs and short-term reversal profits
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account.
01-07-2011
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リサーチ
Is the value premium really compensation for distress risk?
This study provides a comprehensive investigation of the relation between the value anomaly and distress risk.