Similar Search Results

Betting against oil : the implications of divesting from fossil fuel stocks

Blitz, David - In: The journal of impact and ESG investing 2 (2022) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10014232970

Blitz, David; Hanauer, Matthias X.; van Vliet, Pim - In: Journal of Asset Management 22 (2021) 5, pp. 338-349

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...

Persistent link: https://www.econbiz.de/10014501953

Fundamental indexation : an active value strategy in disguise

Blitz, David; Swinkels, Laurens - In: The journal of asset management 9 (2008/09) 4, pp. 264-269

Persistent link: https://www.econbiz.de/10003772002

Dynamic strategic asset allocation : risk and return across the business cycle

Vliet, Willem Nicolaas van; Blitz, David - In: The journal of asset management 12 (2011) 5, pp. 360-375

Persistent link: https://www.econbiz.de/10009377001

Residual momentum

Blitz, David; Huij, Joop; Martens, Martin - In: Journal of empirical finance 18 (2011) 3, pp. 506-521

Persistent link: https://www.econbiz.de/10009302077

The performance of European index funds and exchange-traded funds

Blitz, David; Huij, Joop; Swinkels, Laurens - In: European financial management : the journal of the … 18 (2012) 4, pp. 649-662

Persistent link: https://www.econbiz.de/10009665573

The volatility effect in emerging markets

Blitz, David; Pang, Juan; Vliet, Willem Nicolaas van - In: Emerging markets review 16 (2013), pp. 31-45

Persistent link: https://www.econbiz.de/10010243169

Explanations for the volatility effect : an overview based on the CAPM assumptions

Blitz, David; Falkenstein, Eric G.; Vliet, Willem … - In: The journal of portfolio management : a publication of … 40 (2014) 3, pp. 61-76

Persistent link: https://www.econbiz.de/10010365501

Short-term residual reversal

Blitz, David; Huij, Joop; Lansdorp, Simon D.; Verbeek, Marno - In: Journal of financial markets 16 (2013) 3, pp. 477-504

Persistent link: https://www.econbiz.de/10010348522

Strategic allocation to commodity factor premiums

Blitz, David; Groot, Wilma de - In: The journal of alternative investments 17 (2014/15) 2, pp. 103-115

Persistent link: https://www.econbiz.de/10010467222