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Benchmarks as limits to arbitrage : understanding the low-volatility anomaly
Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey - In: Financial analysts' journal : FAJ 67 (2011) 1, pp. 40-54
Persistent link: https://www.econbiz.de/10008858052
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Investing in the presence of massive flows : the case of MSCI country reclassifications
Burnham, Terence C.; Gakidis, Harry; Wurgler, Jeffrey - In: Financial analysts' journal : FAJ 74 (2018) 1, pp. 77-87
Persistent link: https://www.econbiz.de/10011879198
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The low-risk anomaly : a decomposition into micro and macro effects
Baker, Malcolm; Bradley, Brendan; Taliaferro, Ryan - In: Financial analysts' journal : FAJ 70 (2014) 2, pp. 43-58
Persistent link: https://www.econbiz.de/10010407420
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Optimal tilts : combining persistent characteristic portfolios
Baker, Malcolm; Taliaferro, Ryan; Burnham, Terence C. - In: Financial analysts' journal : FAJ 73 (2017) 4, pp. 75-89
Persistent link: https://www.econbiz.de/10011879097
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EQUITY INVESTMENTS Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey - In: Financial analysts' journal : FAJ 67 (2011) 1, pp. 40-55
Persistent link: https://www.econbiz.de/10008821125