User profiles for David Blitz

David Blitz

Robeco
Verified email at robeco.nl
Cited by 3239

Residual momentum

D Blitz, J Huij, M Martens - Journal of Empirical Finance, 2011 - Elsevier
Conventional momentum strategies exhibit substantial time-varying exposures to the Fama
and French factors. We show that these exposures can be reduced by ranking stocks on …

[BOOK][B] Emergent evolution: Qualitative novelty and the levels of reality

D Blitz - 2013 - books.google.com
Emergent evolution combines three separate but related claims, whose background, origin,
and development I trace in this work: firstly, that evolution is a universal process of change, …

The volatility effect: Lower risk without lower return

D Blitz, P Van Vliet - Journal of portfolio management, 2007 - papers.ssrn.com
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns.
The annual alpha spread of global low versus high volatility decile portfolios amounts to 12…

When equity factors drop their shorts

D Blitz, G Baltussen, P van Vliet - Financial Analysts Journal, 2020 - Taylor & Francis
Although factor premiums originate in both long and short legs of factor portfolios, we found
that (1) most added value comes from the long legs, (2) the long legs offer more …

The volatility effect in emerging markets

D Blitz, J Pang, P Van Vliet - Emerging Markets Review, 2013 - Elsevier
We examine the empirical relation between risk and return in emerging equity markets and
find that this relation is flat, or even negative. This is inconsistent with theoretical models such …

The idiosyncratic momentum anomaly

D Blitz, MX Hanauer, M Vidojevic - International Review of Economics & …, 2020 - Elsevier
This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show
that: (i) idiosyncratic momentum is a distinct phenomenon that exists next to conventional …

Explanations for the volatility effect: An overview based on the CAPM assumptions

D Blitz, EG Falkenstein, P Van Vliet - Available at SSRN 2270973, 2013 - papers.ssrn.com
The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return,
but empirical studies find the actual relation to be flat, or even negative. This paper provides …

Cognition assessment using the NIH Toolbox

…, PD Zelazo, PJ Bauer, NE Carlozzi, J Slotkin, D Blitz… - Neurology, 2013 - AAN Enterprises
Cognition is 1 of 4 domains measured by the NIH Toolbox for the Assessment of Neurological
and Behavioral Function (NIH-TB), and complements modules testing motor function, …

I. NIH Toolbox Cognition Battery (CB): introduction and pediatric data

…, DS Tulsky, J Slotkin, DL Blitz… - Monographs of the …, 2013 - Wiley Online Library
This monograph presents the pediatric portion of the National Institutes of Health (NIH)
Toolbox Cognition Battery (CB) of the NIH Toolbox for the Assessment of Neurological and …

[PDF][PDF] Sin stocks revisited: Resolving the sin stock anomaly

D Blitz, FJ Fabozzi - 2017 - investmentofficer.nl
Stocks of firms that make money from human vice—such as firms in the alcohol, tobacco,
gambling, and weapons industries—are typically referred to as “sin stocks,” and less popularly …