The investment manifesto


A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor ‘‘rationality,’’ the relation must be ‘‘explained’’ by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models… (More)


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Citation Velocity: 27

Averaging 27 citations per year over the last 3 years.

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Cite this paper

@inproceedings{Lin2013TheIM, title={The investment manifesto}, author={Xiaoji Lin and Lu Zhang}, year={2013} }