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In this paper, we strove to provide evidence about the alleged structural changes in the US equity markets that have dramatically reduced the potential for stock picking strategies to work. First, we designed a simple test that looks, from a macro point of view, at potential common factors that...
In a recent discussion about efficient ways to combine multiple firm characteristics into a multifactor portfolio, a distinction was made between the bottom-up and top-down approach. Both approaches integrate characteristics with equal weights and ignore interaction effects from differences in...
Despite Muslims comprising a quarter of the world’s population, almost none of the $100 trillion in professionally managed global assets are sharia compliant. Constraints such as ESG and SRI are common among pension funds, endowments and sovereign wealth funds. Typical constraints include...
The Investors Exchange (IEX) claims that it improves investor transactions in the US Equity markets. The founders of IEX suggest that other equity exchanges cater more to traders such as high-frequency and algorithmic traders, thus giving them a distinct advantage over the typical investor. We...
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