Factor risk premiums and invested capital: calculations with stochastic discount factors

Factor portfolios with value, size, momentum, profitability, and low volatility stocks have historically exhibited high returns after adjusting for market risk. As the weights of these portfolios increase in the stochastic discount factor, the excess returns of these factor strategies should decreas...

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Veröffentlicht in:	Journal of asset management 2018-05, Vol.19 (3), p.145-155
Hauptverfasser:	Ang, Andrew, Hogan, Ked, Shores, Sara
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic models Economics and Finance Finance Financial Services Original Article Risk Management Risk premiums
Online-Zugang:	Volltext
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