Recent academic literature claims that style premia are not robust to trading costs. Several papers written by practitioners counter that the assumptions made by academics on how style portfolios rebalance are too conservative. In this paper we analyze the cost of trading factor strategies using...

Recent empirical studies argue that passive funds tend to propagate liquidity shocks to the underlying securities, thus increasing stock volatility. We document that the growing importance of the closing auction has caused trading in ETFs, much like trading in the underlying stocks, to shift...

We study the relationship between style-related trading and future style returns as well as risk for momentum, value, and low volatility in the S&P 500 universe. To this end, we use a unique data set consisting of the entire daily equity flow executed through Bank of America Merrill Lynch for...

We investigate the impact of country and sector as variables in explaining the cross-sectional variability of price returns for a sample of over 1900 companies comprising the MSCI Developed World Index, drawn from 21 countries, over the period 1992-2001. For the value-weighted world portfolio,...

Contemporary studies on cost behaviour find that costs increase more with activity increases than they decrease in response to equivalent activity decreases. This sticky cost behaviour contradicts the traditional model which assumes that costs behave symmetrically for activity increases and...

Contemporary studies on cost behaviour find that costs increase more with activity increases than they decrease in response to equivalent activity decreases. This sticky cost behaviour contradicts the traditional model which assumes that costs behave symmetrically for activity increases and...