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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing · Study

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PreprintAlice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Robert D. mname Arnott2019

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Preprintgreen2019

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Robert D. mname Arnott · Campbell R. Harvey · Vitali mname Kalesnik · Juhani T. Linnainmaa

17 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1981The relationship between return and market value of common stocks 1994Contrarian Investment, Extrapolation, and Risk 1997A model of investor sentiment /1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1972The capital asset pricing model: Some empirical tests

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Details

Year2019

Typepreprint

Published2019-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3331680

openalex_workW2913431537

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