This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

We explain the variability of the mean-variance efficient frontier over time with a statistical three factor model. For an asset universe consisting of 22 stocks listed in Switzerland, the model explains more than 99% of the time variations in the efficient frontier.The three factors can be...