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Navigating the factor zoo around the world
Söhnke M Bartram
,
Harald Lohre
,
Peter F Pope
,
Ananthalakshmi Ranganathan
Jul 28, 2021
Abstract
The literature on cross-sectional stock return predictability has documented over 450 factors. We take the perspective of an institutional investor and navigate this zoo of factors by...
Original Paper
Asset pricing
Factor investing
Mispricing
Risk factor
Institutional investor
transaction costs
Limits to arbitrage
market efficiency
anomaly
G11
G14
G15
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