De Moor, Lieven; Fang, Liu; Sercu, Piet; Vinaimont, Tom - Faculteit Economie en Bedrijfswetenschappen, … - 2012
stocks overperform but are underweighted and vice versa, implying a `drag' which FI claims to avoid. Mixed into the debate is … necessary to avoid drag, but the cross-sectional patterns are also quite variable over time. In short, there are style shifts … and they are unstable. To estimate the benefits from drag avoidance, purged of style shifts without having to rely on …