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The Journal of Portfolio Management

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Article

Academic Knowledge Dissemination in the Mutual
Fund Industry: Can Mutual Funds Successfully Adopt Factor
Investing Strategies?

Eduard van Gelderen and Joop Huij
The Journal of Portfolio Management Summer 2014, 40 (4) 157-167; DOI: https://doi.org/10.3905/jpm.2014.40.4.157
Eduard van Gelderen
is a CIO at APG Asset Management and Ph.D. researcher at International School of Management in Amsterdam, The Netherlands, and Paris, France.
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  • For correspondence: eduard.van.gelderen@apg-am.nl
Joop Huij
is a senior vice president at Robeco and an associate professor of finance at Rotterdam School of Management in Rotterdam, The Netherlands.
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  • For correspondence: j.huij@robeco.com
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Abstract

The authors investigate whether investors who have adopted investment strategies based on asset pricing anomalies documented in the academic literature consistently earn abnormal returns. They evaluate the performance of a large sample of U.S. equity mutual funds over the period from 1990 to 2010. They find evidence supporting added value for investors who adopt factor-investing strategies: low-beta, small-cap and value funds earn significant excess returns. They also find that these excess returns are sustainable and have not disappeared after the public dissemination of the anomalies. The authors propose some criteria that might be helpful to determine the successful application of academic insights in the context of investment strategies. Their findings have significant implications for the role of academic research and knowledge management in the investment management industry.

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The Journal of Portfolio Management: 40 (4)
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Academic Knowledge Dissemination in the Mutual
Fund Industry: Can Mutual Funds Successfully Adopt Factor
Investing Strategies?
Eduard van Gelderen, Joop Huij
The Journal of Portfolio Management Jul 2014, 40 (4) 157-167; DOI: 10.3905/jpm.2014.40.4.157

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Academic Knowledge Dissemination in the Mutual
Fund Industry: Can Mutual Funds Successfully Adopt Factor
Investing Strategies?
Eduard van Gelderen, Joop Huij
The Journal of Portfolio Management Jul 2014, 40 (4) 157-167; DOI: 10.3905/jpm.2014.40.4.157
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  • Article
    • Abstract
    • ACADEMIC LITERATURE, CHOICE OF FACTORS, AND SOME CONSIDERATIONS
    • DATA AND METHODOLOGY
    • EMPIRICAL RESULTS
    • CONCLUSION
    • REFERENCES
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  • PDF (Subscribers Only)

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