Manténgase al día de las últimas perspectivas sobre inversión cuantitativa
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17-11-2011 · Investigación
Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors. We develop a novel reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earns risk-adjusted returns that are twice as large as those of a conventional reversal strategy.
Autores/Autoras
Joop Huij
PhD, Head of Sustainable Index Solutions
Simon Lansdorp
PhD, Portfolio Manager Sustainable Index Solutions
David Blitz
Chief Researcher
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