1. Fama and French: The Five-Factor Model Revisited
How well has Eugene F. Fama and Kenneth R. French’s five-factor model explained returns? Derek Horstmeyer, Ying Liu, and Amber ...
Sixty years after it was first formulated, the core tenet of the efficient market hypothesis (EMH) — that stock prices fully reflect all available information — is still considered ...
Thomas M. Idzorek, CFA, is the author of “Personalized Multiple Account Portfolio Optimization,” for the Financial Analysts Journal, and co-author of Popularity: A Bridge between ...
Pim van Vliet, PhD, is the author of High Returns from Low Risk: A Remarkable Stock Market Paradox, with Jan de Koning.
The low-volatility premium may be the most compelling ...