A Framework for Assessing Factors and Implementing Smart Beta Strategies - June 2015
Research Affiliates
Description
Haugen, R.A., and A.J. Heins. “Risk and the Rate of Return
on Financial Assets: Some Old Wine in New Bottles.” Journal
of Financial and Quantitative Analysis, 10 (1975), pp. 775-784.
Horowitz, J.L., T.
Loughran, and N.E. Savin. “Three Analyses of the Firm Size Premium.” Journal of Empirical Finance, 7 (2000), pp.
143-153. Hsu, J., and V. Kalesnik. “Finding Smart Beta in the Factor Zoo.” Research Affiliates (2014). Jegadeesh, N., and S.
Titman. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 48 (1993), pp. 65-91. Kalesnik, V., and E.
Kose. “The Moneyball of Quality Investing.” Research Affiliates (2014). McLean, R.D., and J. Pontiff.
“Does Academic Research Destroy Stock Return Predictability?”. AFFI/EUROFIDAI, Paris December 2012 Finance Meetings Paper. Available at SSRN: http://ssrn.com/abstract=2156623 (February 17, 2015). Novy-Marx, R., and M.
Velikov. “A Taxonomy of Anomalies and Their Trading Costs.” Working Paper No. w20721, National Bureau of Economic Research (2014). Pastor, L., and R.F.
Stambaugh. “Liquidity Risk and Expected Stock Returns.” Working Paper No. w8462, National Bureau of Economic Research (2001). Pukthuanthong, K., and R.
Roll. “A Protocol for Factor Identif ication.” Available at SSRN: http://ssrn.com/ abstract=2342624 ( January 27, 2014). Shumway, T., and V.A. Warther.
“The Delisting Bias in CRSP’s Nasdaq Data and Its Implications for the Size Effect.” Journal of Finance, 54 (1999), pp. 2361-2379. To order reprints of this article, please contact Dewey Palmieri at dpalmieri@ iijournals.com or 212-224-3675. SUMMER 2015 JII-HSU.indd 97 THE JOURNAL OF INDEX INVESTING 5/14/15 8:48:00 PM .
Loughran, and N.E. Savin. “Three Analyses of the Firm Size Premium.” Journal of Empirical Finance, 7 (2000), pp.
143-153. Hsu, J., and V. Kalesnik. “Finding Smart Beta in the Factor Zoo.” Research Affiliates (2014). Jegadeesh, N., and S.
Titman. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 48 (1993), pp. 65-91. Kalesnik, V., and E.
Kose. “The Moneyball of Quality Investing.” Research Affiliates (2014). McLean, R.D., and J. Pontiff.
“Does Academic Research Destroy Stock Return Predictability?”. AFFI/EUROFIDAI, Paris December 2012 Finance Meetings Paper. Available at SSRN: http://ssrn.com/abstract=2156623 (February 17, 2015). Novy-Marx, R., and M.
Velikov. “A Taxonomy of Anomalies and Their Trading Costs.” Working Paper No. w20721, National Bureau of Economic Research (2014). Pastor, L., and R.F.
Stambaugh. “Liquidity Risk and Expected Stock Returns.” Working Paper No. w8462, National Bureau of Economic Research (2001). Pukthuanthong, K., and R.
Roll. “A Protocol for Factor Identif ication.” Available at SSRN: http://ssrn.com/ abstract=2342624 ( January 27, 2014). Shumway, T., and V.A. Warther.
“The Delisting Bias in CRSP’s Nasdaq Data and Its Implications for the Size Effect.” Journal of Finance, 54 (1999), pp. 2361-2379. To order reprints of this article, please contact Dewey Palmieri at dpalmieri@ iijournals.com or 212-224-3675. SUMMER 2015 JII-HSU.indd 97 THE JOURNAL OF INDEX INVESTING 5/14/15 8:48:00 PM .
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