而我和“麦教授”(Michael Zhang)以及卢涛博士合著的 Navigating the Factor Zoo 则是为了弥补这个 gap 而做出的尝试。 在内容上,全书第一章从资产定价理论出发勾勒了因子投资的整体框架,然后第 2 到 11 章分别从以下方面介绍了学界研究和业界实践中最重要的大类因子:Quantamentals、Statistical Moments、Market Beta...
Bridging the gap between theoretical asset pricing and industry practices in factors and factor investing, Zhang et al. provides a comprehensive treatment of factors, along with industry insights on practical factor development. Chapters cover a wide array of topics, including the foundations of quantam...
The factor zoo’s inhabitants are diverse. To illustrate, value factors combine information from financial statements and market prices to identify relatively cheap stocks, while momentum and reversal factors are constructed from past return series. Quality factors build on accounting numbers to identify ...
Navigating the Factor Zoo Around the World: An Institutional Investor Perspectivedoi:10.2139/ssrn.3510989Asset pricingmispricingrisk factorinstitutional investortransaction costslimits to arbitragemarket efficiencyanomalyThe literature on cross-sectional stock return predictability has documented over 450 factors. ...
《预售 Navigating the Factor Zoo: The Science of Quantitative Investing: 9781032768410》,作者:预售 Navigating the Factor Zoo: The Science of Quantitative Investing: 9781032768410Zhang 著,出版社:Routledge,ISBN:9781032768410。
Journal of Business Economics (2021) 91:655–703 https://doi.org/10.1007/s11573-021-01035-y ORIGINAL PAPER Navigating the factor zoo around the world: an institutional investor perspective Söhnke M. Bartram1,2 · Harald Lohre3,4,5 · Peter F. Pope6 · ...
When it comes to factor investing, timing matters.\nA new academic paper published late in March shows that market timing works with factors. Researchers f... A Mcelhaney - 《Institutional Investor》 被引量: 0发表: 2023年来源期刊 SSRN Electronic Journal 2019/01/01 研究点推荐 Factor Zoo ...
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This chapter situates travel writing in the Caribbean region, looking at how geography might enter productively in travel narratives as a point of entanglement. Using Glissant’s notion of archipelagic thinking alongside Henri Lefebvre’s and Michel de..