Can Competition Increase Profits in Factor Investing?
References
- (2005) Direct estimation of equity market impact. Risk 18(7):58–62.Google Scholar
- (2021) An anatomy of long-short equity funds. Preprint, submitted March 29, https://dx.doi.org/10.2139/ssrn.3813790.Google Scholar
- (2018) Growth of ETFs reflects passive shift; three largest firms hold 79% of assets. Pensions & Investments (May 28), https://www.pionline.com/article/20180528/PRINT/180529892/growth-of-etfs-reflects-passive-shift-3-largest-firms-hold-79-of-assets#:~:text=Exchange-traded%20product%20gains%20in%202017%20were%20fueled%20by%20the.Google Scholar
- (2012) Three essays in financial markets. Unpublished PhD dissertation, Universidade Nova de Lisboa, Portugal.Google Scholar
- (2015) Beyond the carry trade: Optimal currency portfolios. J. Financial Quant. Anal. 50(5):1037–1056.Crossref, Google Scholar
- (2021) Crowding and tail risk in momentum returns. J. Financial Quant. Anal. 57(4):1313–1342.Crossref, Google Scholar
- (2004) Mutual fund flows and performance in rational markets. J. Political Econom. 112(6):1269–1295.Crossref, Google Scholar
- BlackRock (2021) What is factor investing? Accessed June 12, 2022, https://www.blackrock.com/us/individual/investment-ideas/what-is-factor-investing.Google Scholar
- (2015) The capacity of trading strategies. Preprint, submitted March 27, https://dx.doi.org/10.2139/ssrn.2585399.Google Scholar
- (2006) Dynamic portfolio selection by augmenting the asset space. J. Finance 61(5):2187–2217.Crossref, Google Scholar
- (2009) Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns. Rev. Financial Stud. 22(9):3411–3447.Crossref, Google Scholar
- (2002) Predicting equity liquidity. Management Sci. 48(4):470–483.Link, Google Scholar
- (2022) Crowded trades and tail risk. Rev. Financial Stud. 35(7):3231–3271.Crossref, Google Scholar
- (2019) Invesco focusing on scale. ETF.com (January 24), https://www.etf.com/sections/etf-report-departments/invesco-focusing-scale#:~:text=By%20focusing%20on%20the%20smart-beta/factor%20investing%20products%20and.Google Scholar
- (2023) Zeroing in on the expected returns of anomalies. J. Financial Quant. Anal. 58(3):968–1004.Crossref, Google Scholar
- (2005) Price impact costs and the limit of arbitrage. Working paper, Yale University, New Haven, CT.Google Scholar
- (2017) Transaction costs and crowding. Quant. Finance 18(8):1389–1410.Crossref, Google Scholar
- (2009) Asset Pricing, rev. ed. (Princeton University Press, Princeton, NJ).Google Scholar
- (1838) Recherches sur les Principes Mathématiques de la Théorie des Richesses par Augustin Cournot (Chez L. Hachette, Paris).Google Scholar
- (2011) Institutional trade persistence and long-term equity returns. J. Finance 66(2):635–653.Crossref, Google Scholar
- (2024) A multifactor perspective on volatility-managed portfolios. J. Finance Forthcoming.Google Scholar
- (2020) A transaction-cost perspective on the multitude of firm characteristics. Rev. Financial Stud. 33(5):2180–2222.Crossref, Google Scholar
- (2023) Model comparison with transaction costs. J. Finance 78(3):1743–1775.Google Scholar
- (2015) Managerial activeness and mutual fund performance. Rev. Asset Pricing Stud. 5(2):156–184.Crossref, Google Scholar
- (2020) Liquidity and volatility. Preprint, submitted October 19, https://dx.doi.org/10.2139/ssrn.3133291.Google Scholar
- (2006) Scale effects in mutual fund performance: The role of trading costs. Preprint, submitted December 13, https://dx.doi.org/10.2139/ssrn.951367.Google Scholar
- (2020) Is the active fund management industry concentrated enough? J. Financial Econom. 136(1):23–43.Crossref, Google Scholar
- (2019) One global village? Competition in the international active fund management industry. Preprint, submitted February 7, https://dx.doi.org/10.2139/ssrn.3330131.Google Scholar
- (2019) Investors’ smart money piles into smart beta ETFs. Financial Times (February 11), https://www.ft.com/content/79914bf3-7be1-3a34-9e7a-1a5b2b3fe95b#:~:text=Investors%20ploughed%20$77.6bn%20into%20smart%20beta%20exchange%20traded.Google Scholar
- (2021) What constrains liquidity provision? Evidence from hedge fund trades. Rev. Finance 25(2):485–517.Crossref, Google Scholar
- (2015) Trading costs of asset pricing anomalies. Working paper, Fama–Miller Chicago Booth, IL.Google Scholar
- (2018) Trading costs. Working paper, AQR, Greenwich, CT.Google Scholar
- (2017) The characteristics that provide independent information about average U.S. monthly stock returns. Rev. Financial Stud. 30(12):4389–4436.Crossref, Google Scholar
- (2000) Active Portfolio Management, 2nd ed. (McGraw-Hill, New York).Google Scholar
- (2020) Crowding: Evidence from fund managerial structure. Preprint, submitted April 9, https://dx.doi.org/10.2139/ssrn.3554636.Google Scholar
- (2018) Mutual fund competition, managerial skill, and alpha persistence. Rev. Financial Stud. 31(5):1896–1929.Crossref, Google Scholar
- (2022) Buy-side competition and momentum profits. Rev. Financial Stud. 35(1):254–298.Crossref, Google Scholar
- (2019) Noise trading and asset pricing factors. Preprint, submitted April 29, https://dx.doi.org/10.2139/ssrn.3359356.Google Scholar
- (2014) Investing in a multidimensional market. Financial Anal. J. 70(6):6–12.Crossref, Google Scholar
- (2011) What happened to the quants in August 2007? Evidence from factors and transactions data. J. Financial Markets 14(1):1–46.Crossref, Google Scholar
- (2004) Are momentum profits robust to trading costs? J. Finance 59(3):1039–1082.Crossref, Google Scholar
- (2004) The illusory nature of momentum profits. J. Financial Econom. 71(2):349–380.Crossref, Google Scholar
- Li J (2022) What drives the size and value factors? Rev. Asset Pricing Stud. 12(4):845–885.Google Scholar
- Li S, DeMiguel V, Martín-Utrera A (2024) Comparing factor models with price-impact costs. J. Financial Econom. 162:103949.Google Scholar
- (2012) A flow-based explanation for return predictability. Rev. Financial Stud. 25(12):3457–3489.Crossref, Google Scholar
- (2022) Comomentum: Inferring arbitrage activity from return correlations. Rev. Financial Stud. 35(7):3272–3302.Crossref, Google Scholar
- (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
- (2016) A taxonomy of anomalies and their trading costs. Rev. Financial Stud. 29(1):104–147.Crossref, Google Scholar
- (2012) On the size of the active management industry. J. Political Econom. 120(4):740–781.Crossref, Google Scholar
- (2015) Scale and skill in active management. J. Financial Econom. 116(1):23–45.Crossref, Google Scholar
- (2017) Capacity of smart beta strategies: A transaction cost perspective. J. Index Investing 8(3):39–50.Crossref, Google Scholar
- (1993) The Herfindahl-Hirschman index. Federal Reserve Bull. 79:188–189.Google Scholar
- (2009) Presidential address: Sophisticated investors and market efficiency. J. Finance 64(4):1517–1548.Crossref, Google Scholar
- (1997) Market Impact Model Handbook (BARRA Inc, Berkeley, CA).Google Scholar
- (2011) Competition among mutual funds. J. Financial Econom. 99(1):40–59.Crossref, Google Scholar
- (1999) Mutual fund herding and the impact on stock prices. J. Finance 54(2):581–622.Crossref, Google Scholar

