The authors construct ESG strategies that have been shown to outperform in popular
articles. They assess performance benefits to investors when accounting for sector and …

Many index providers claim that the book-to-price ratio is no longer a sufficient descriptor of
the value factor. They argue that it has become outdated because reported book value …

This paper uses European high capitalization corporate data for the 1991–2019 period to
demonstrate that a systematic active management portfolio based on the identification of …

We propose firm-level measures of exposures to macroeconomic risks that substantially
improve out-of-sample robustness compared to standard estimation approaches. Systematic …

Moreira and Muir (2017) question the existence of a strong risk-return tradeoff by showing
that investors can improve performance by reducing exposure to risk factors when their …

Financial analysts assume that the reliability of predictions derived from regression analysis
improves with sample size. This is thought to be true because larger samples tend to …

We investigate whether macroeconomic factors adequately proxy for systematic influences
in stock returns within the South African context. We also investigate whether a commonly …

This study explores risk–reward patterns in the US stock market and establishes optimal
factor-based investing using the Fama–French five-factor model through market cycles …

This study developed an investment framework to implement dynamic factor rotation
strategies according to changes in economic conditions. I constructed a useful macro …

Purpose: The equity premium influences investors' investing decisions, as well as their
savings, spending habits, and portfolio allocation between risk-free and risky assets …