Foundations of Factor Investing

  title={Foundations of Factor Investing},
  author={J. Bender and R. Briand and D. Melas and R. Subramanian},
  journal={ERN: Asset Pricing Models (Topic)},
Factor investing is based on the existence of factors that have earned a premium over long periods, reflect exposure to systematic risk, and are grounded in the academic literature. Early financial theory established that for stocks, exposure to the market was a significant driver of returns (e.g., the CAPM). Later, researchers like Barr Rosenberg, Eugene Fama and Kenneth French extended the CAPM to include certain systematic factors that also were important in explaining returns. Tilts towards… Expand
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