This paper documents a robust new fact about the cross section of stock returns: stocks of companies with higher past production efficiency earn significantly higher average returns in the future. The return difference between the high production efficiency and the low production efficiency...

In this paper we firstly give an introduction to capital market synergetics, a model enabling us to compute transaction costs and investigate the operating efficiency of a stock market's micro structure. Frankfurt's trading system Xetra and NASDAQ are currently implemented at the computer...

The past several years have witnessed the introduction of hundreds of so-called “smart beta” equity indices. These indices provide exposure to risk factors, such as value or low volatility, in order to seek excess return and/or risk reduction compared to cap-weighted indices. Although the...

The work of Haugen and Baker (1991) and Grinold (1992) has shown that market capitalisation-weighted indices are not mean-variance efficient. Further research by Amenc, Goltz, and Le Sourd (2006) proves that even naïve equal weighting can offer a better risk to return trade-off to investors in...