Analysis of individual factors/risk premia
- Hedging and Constructing Portfolios of Active Strategies: Strategy Time Horizon and Estimation ErrorsAlexander Rudin and William M. MarrThe Journal of Alternative Investments June 2018, 21 (1) 39-47; DOI: https://doi.org/10.3905/jai.2018.21.1.039
- Industry Return Predictability: A Machine Learning ApproachDavid E. Rapach, Jack K. Strauss, Jun Tu and Guofu ZhouThe Journal of Financial Data Science July 2019, 1 (3) 9-28; DOI: https://doi.org/10.3905/jfds.2019.1.3.009
- From Risk Factors to Networks: A Case Study on Interconnectedness Using Currency FundsGueorgui Konstantinov and Jonas RebmannThe Journal of Financial Data Science July 2019, 1 (3) 108-123; DOI: https://doi.org/10.3905/jfds.2019.1.3.108
- Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplénie and Raul Leote de CarvalhoThe Journal of Fixed Income October 2019, jfi.2019.1.074; DOI: https://doi.org/10.3905/jfi.2019.1.074
- Defining and Exploiting Value in US Treasury BondsRiccardo Rebonato, Jean-Michel Maeso and Lionel MartelliniThe Journal of Fixed Income September 2019, 29 (2) 6-25; DOI: https://doi.org/10.3905/jfi.2019.1.071
- Fourier Method for Valuation of Options under Parameter and State UncertaintyErik LindströmThe Journal of Derivatives September 2019, jod.2019.1.085; DOI: https://doi.org/10.3905/jod.2019.1.085
- Seeking Alpha from Share RepurchasesAtreya Chakraborty, James L. Grant, Emery A. Trahan and Bhakti VarmaThe Journal of Investing September 2019, joi.2019.1.104; DOI: https://doi.org/10.3905/joi.2019.1.104
- Relative Strength over Investment Horizons and Stock ReturnsZhaobo Zhu, Xinrui Duan and Jun TuThe Journal of Portfolio Management September 2019, jpm.2019.1.111; DOI: https://doi.org/10.3905/jpm.2019.1.111
- Dynamic Strategy Migration and the Evolution of Risk PremiaDavid E. KuenziThe Journal of Portfolio Management September 2019, jpm.2019.1.110; DOI: https://doi.org/10.3905/jpm.2019.1.110
- The Size Premium in Equity Markets: Where Is the Risk?Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière and Jean-Philippe BouchaudThe Journal of Portfolio Management June 2019, 45 (5) 58-68; DOI: https://doi.org/10.3905/jpm.2019.1.086
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