The Drivers and Inhibitors of Factor Investing
Factor investing in equities, studied by Jin in 2019. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“However, the equilibrium fraction of capital allocated to factor investing can never reach 100 percent: the ceiling is determined by the endogenous level of opportunism in the fundamental investment industry.”
AssetEquitiesETFs
StrategyFactor investing
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
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