In this article, the authors explore the benefits of strategic allocations to factor premia for long-
horizon investors. They consider single-asset-class and multi-asset-class factor premia …

Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An
unfortunate consequence of constructing portfolios on a target style is the unintended …

Investors interested in factor investing often seek exposure to several factors, not just one or
two. The decision on how to implement multiple exposures may have a considerable effect …

Stock return predictability is an important research theme as it reflects our economic and
social organization, and significant efforts are made to explain the dynamism therein …

In this paper we study the performance of factor investment strategies from a practitioner's
point of view. We first create a multifactor portfolio called the factor-tilted benchmark (FTB) …

This dissertation is to explore the risk factors and factor models on Chinese A-share stock
market based on the context of Fama-French (FF) factor model. First of all, chapter 1 re …