Improving Equity Fund Alpha Estimates with a Second Size Factor

Nanqing Dong, Luka Jankovic, Anne Stewart and Scott Stewart
The Journal of Portfolio Management Quantitative Special Issue 2023, 49 (2) 175-187; DOI: https://doi.org/10.3905/jpm.2022.1.435

Article Information

vol. 49 no. 2 175-187
DOI 
https://doi.org/10.3905/jpm.2022.1.435
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 3, 2023.

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© 2022 Pageant Media Ltd

Author Information

  1. Nanqing Dong
    1. is a PhD candidate at the University of Oxford in Oxford, UK. (nanqing.dong{at}cs.ox.ac.uk)
  2. Luka Jankovic
    1. is a head of GalaxyOne at Galaxy Digital in New York, NY. (lmj57{at}cornell.edu)
  3. Anne Stewart
    1. is a manager in financial planning and analysis at Panera, LLC, in Boston, MA. (ams687{at}cornell.edu)
  4. Scott Stewart
    1. is a clinical professor of finance and accounting at SC Johnson College of Business at Cornell University in Ithaca, NY. (sds58{at}cornell.edu)
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Improving Equity Fund Alpha Estimates with a Second Size Factor
Nanqing Dong, Luka Jankovic, Anne Stewart, Scott Stewart
The Journal of Portfolio Management Dec 2022, 49 (2) 175-187; DOI: 10.3905/jpm.2022.1.435
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