Factor-based investing: the long-term evidence
Accepted version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Abstract
Factor investing is popular, and its adoption is accelerating. One reason it is increasingly being embraced is that portfolio return expectations seem to be evidence based. However, much of the so-called evidence consists of repeated analysis of the very datasets used to derive an investment model in the first place. To mitigate this trap, the authors estimate the risk premiums earned from factor investing over very long periods (up to 117 years) and across many markets (up to 23). They report on the long-term profitability of following strategies based on market capitalization, value versus growth, dividend yield, stock-return momentum, and low-volatility investing.
Description
Keywords
3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services
Journal Title
Journal of Portfolio Management
Conference Name
Journal ISSN
0095-4918
2168-8656
2168-8656
Volume Title
43
Publisher
Pageant media
Publisher DOI
Rights
All rights reserved