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In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...
Persistent link: https://www.econbiz.de/10012966327
Value stocks endured a period of severe underperformance until recently. We show that the value spreads between valuations of value stocks and their most expensive peers expanded in all regions and sectors during this period of underperformance, reaching the same extreme high levels last seen at...
Persistent link: https://www.econbiz.de/10013234255