Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Tzee-man Chow"'
Autor:
Barbara J Mack
Publikováno v:
Practical Applications. 2:1-5
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::43e877a2c769301854c121fb77e55527
https://doi.org/10.3905/pa.2014.2.3.088
https://doi.org/10.3905/pa.2014.2.3.088
Autor:
Tzee-man Chow, Feifei Li
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3473925d37ad2cb4bcca8fc11f08d023
https://doi.org/10.2139/ssrn.4119660
https://doi.org/10.2139/ssrn.4119660
Publikováno v:
Financial Analysts Journal. 75:62-78
Although hidden, the implicit market impact costs of factor investing may substantially erode a strategy’s expected excess returns. The rebalancing data of a suite of large and long-standing factor...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37c1934bda0aaeb80c6a9dbf72855fd9
https://doi.org/10.1080/0015198x.2019.1567190
https://doi.org/10.1080/0015198x.2019.1567190
Publikováno v:
Financial Analysts Journal. Mar/Apr2016, Vol. 72 Issue 2, p52-70. 19p.
Publikováno v:
The Journal of Index Investing. 8:47-60
The authors compare the qualitative properties and the risk and return profiles of simulated multifactor portfolios constructed in accordance with two different methodologies. The first, the integrating approach, is a process that searches the univer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f11e47c7347414f2920bf6d4836528f
https://doi.org/10.3905/jii.2018.8.4.047
https://doi.org/10.3905/jii.2018.8.4.047
Autor:
Robert Arnott, Tzee-man Chow
Publikováno v:
Practical Applications. 6:1.7-5
Although the cyclically adjusted price/earnings ratio (CAPE), also known as the Schiller P/E, appears to be a powerful tool for forecasting equity returns over very long periods, it has been of limited practical use for shorter horizons. King of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b088d2df7181b2bf5c32476c665d55b6
https://doi.org/10.3905/pa.6.2.289
https://doi.org/10.3905/pa.6.2.289
Publikováno v:
SSRN Electronic Journal.
The authors compare the qualitative properties as well as the risk and return profiles of simulated multi-factor portfolios constructed in accordance with two different methodologies. The first, the integrating approach, is a process that searches th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::334d55e7f7bcdf7097c2e067bf8f054d
https://doi.org/10.2139/ssrn.3041411
https://doi.org/10.2139/ssrn.3041411
Publikováno v:
The Journal of Portfolio Management. 40:89-105
In this study, the authors examine the hypothetical performance of various low volatility strategies in historical U.S., global developed, and emerging markets. The strategies we replicated outperformed cap-weighted market indices due to exposure to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6cb9c7785051a41a97bdc9654c446af4
https://doi.org/10.3905/jpm.2014.40.4.089
https://doi.org/10.3905/jpm.2014.40.4.089
Publikováno v:
SSRN Electronic Journal.
Contrary to naive expectations, we find that moderate rather than rock-bottom levels of inflation and real interest rates are associated with lofty valuation multiples. Moderate levels create a valuation “mountain,” which is evident not only in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a78e2c62b3246ac1f379119b7f743528
https://doi.org/10.2139/ssrn.2640327
https://doi.org/10.2139/ssrn.2640327
Publikováno v:
SSRN Electronic Journal.
This paper replicates various low volatility strategies and examines their historical performance using U.S., global developed markets, and emerging markets data. In our sample, low volatility strategies outperformed their corresponding cap-weighted
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c27450f542d5cba59653a039baaff220
https://doi.org/10.2139/ssrn.2298117
https://doi.org/10.2139/ssrn.2298117