Abstract Environmental, Social, and Governance (ESG) signals are an important part of
factor-based investing strategies as they can stem from the same economic rationales as …

Crowding is a major concern for investors in alternative risk premia. By focusing on the
distinct mechanics of various systematic strategies, this study introduces a framework that …

This article compares the efficacy of three common transaction-cost-mitigation techniques:
limiting a strategy to cheap-to-trade securities, rebalancing a strategy less frequently, and …

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 …

The growing number of institutions exploiting factor-investing strategies raises concerns that
crowding may increase price-impact costs and erode profits. We identify a mechanism that …

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 …

Under the paradigm of factor investing, we create a global factor allocation strategy using
country indexes and portfolio construction methodologies that are robust to estimation error …

We hypothesize and provide evidence that prices are more inelastic when demand is less
diversifiable. Specifically, we decompose order-flow imbalance into several components …

Volatilitas harga saham menjadi isu yang menarik untuk diteliti bahwasanya salah pilih
saham saat berinvestasi saham akan mengakibatkan kerugian yang besar. Teori portofolio …

Factor investing has emerged from the asset management world as the new paradigm for
long-term investment. It attracted fresh interest after the publication of a report on active …