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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorBrière, Marie
hal.structure.identifierDépartement d'économie appliquée de l'université libre de Bruxelles [Dulbéa]
hal.structure.identifierUniversité Libre de Bruxelles
hal.structure.identifierCentre Emile Bernheim
hal.structure.identifierCERMi
dc.contributor.authorSzafarz, Ariane
dc.date.accessioned2019-10-14T13:06:38Z
dc.date.available2019-10-14T13:06:38Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20144
dc.language.isoenen
dc.subjectDataen
dc.subjectFactor Investingen
dc.subjectHorizontal testsen
dc.subjectIdiosyncratic returnsen
dc.subjectMethodsen
dc.subjectOrganizational issuesen
dc.subjectShort-sellingen
dc.subjectVertical testsen
dc.subject.ddc332en
dc.subject.classificationjelC.C5.C58en
dc.subject.classificationjelD.D9.D92en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelG.G1.G11en
dc.titleFactor Investing: the Rocky Road from Long-Only to Long-Shorten
dc.typeChapitre d'ouvrage
dc.description.abstractenFactor investing has emerged from the asset management world as the new paradigm for long-term investment. It attracted fresh interest after the publication of a report on active portfolio management, produced by Ang et al. at the request of the Norwegian sovereign wealth fund. The first risk factor to be identified is the market factor, which delivers the so-called market premium. According to the capital asset pricing model (CAPM), the market premium is the only risk premium available to investors. However, a host of empirical work has uncovered additional factors that entail significant risk premia. The best-known of these relate to growth and value and momentum. Factor investing exhibits a remarkable propensity to beat the market in terms of enhancing expected returns a given level of volatility. According to Israel and Moskowitz and Asness et al., both the long and short legs of factors contribute to overall financial performance. Brière and Szafarz compare optimal portfolios made up of either the 10 sector indexes in the Standard Industrial Classification system, or the five long legs plus the five short legs of the factors proposed by Fama and French. The results of that comparison suggest that the dominance of factor investing over sector investing relies on the possibility to make short sales. However, sizeable literature on portfolio management suggests that shorting regularly to rebalance portfolios is difficult. The aim of this paper is to assess the actual dependence of the mean-variance performances of factor investing on short-selling restrictions.en
dc.identifier.citationpages25-45en
dc.relation.ispartoftitleFactor Investing. From Traditional to Alternative Risk Premiaen
dc.relation.ispartofeditorJurczenko, Emmanuel
dc.relation.ispartofpublnameElsevieren
dc.relation.ispartofpublcityAmsterdamen
dc.relation.ispartofdate2017
dc.relation.ispartofurl10.1016/C2016-0-01139-7en
dc.identifier.urlsitehttps://dx.doi.org/10.2139/ssrn.2908491en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1-78548-201-4en
dc.relation.forthcomingnonen
dc.identifier.doi10.1016/B978-1-78548-201-4.50002-7en
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-09-30T15:46:57Z
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