Factor investing is one of the most popular investment strategies among institutional and retail investors alike. It involves selecting and managing securities based on specific factors or ...

The Econometrics Journal, Vol. 19, No. 1, RES CONFERENCE 2014: SPECIAL ISSUE ON LARGE DIMENSIONAL MODELS (2016), pp. C33-C60 (28 pages) Decomposing volatilities into a common market-driven component ...

Factor-based exchange-traded funds (ETFs), also known as smart beta ETFs, are a type of exchange-traded fund that aims to provide investors with market-beating returns by focusing on specific ...

With the possible exception of the east Asian countries, increased foreign trade and investment have increased wage inequality in almost all parts of the globe during the last two decades of the 20th ...