Navigating the factor zoo around the world: an institutional investor perspective
| Autor: | Ananthalakshmi Ranganathan, Peter F. Pope, Söhnke M. Bartram, Harald Lohre |
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| Přispěvatelé: | Apollo - University of Cambridge Repository |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
HF Market efficiency Investment strategy Financial economics Institutional investor HB Factor investing Asset allocation ANOMALY ASSET PRICING FACTOR INVESTING INSTITUTIONAL INVESTOR LIMITS TO ARBITRAGE MARKET EFFICIENCY MISPRICING RISK FACTOR TRANSACTION COSTS HG 0502 economics and business Capital asset pricing model G11 Business and International Management 040101 forestry Transaction cost Original Paper 050208 finance 3502 Banking Finance and Investment Transaction costs G14 05 social sciences G15 04 agricultural and veterinary sciences Risk factor (finance) Asset pricing Investment (macroeconomics) 35 Commerce Management Tourism and Services Fixed income Limits to arbitrage Anomaly 0401 agriculture forestry and fisheries Business Risk factor Mispricing |
| Zdroj: | Journal of Business Economics |
| ISSN: | 1861-8928 0044-2372 |
| Popis: | The literature on cross-sectional stock return predictability has documented over 450 factors. We take the perspective of an institutional investor and navigate this zoo of factors by focusing on the evidence relevant to the practicalities of factor-based investment strategies. Establishing a sound theoretical rationale is key to identifying “true” factors, and we emphasize the need to recognize data-mining concerns that may cast doubt on the relevance of many factors. From a practical investment perspective, much of the factor evidence documented by academics may be more apparent than real. The performance of many factors is dependent on the inclusion of small- and micro-cap stocks in academic studies, although such stocks would likely be excluded from the real investment universe due to illiquidity and transaction costs. Nevertheless, a parsimonious set of factors emerges in equities and other asset classes, including currencies, fixed income, and commodities. These factors can serve as meaningful ingredients to factor-based portfolio construction. |
| Databáze: | OpenAIRE |
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