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Multi factor investing: a study on market efficiency evolution
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| 2.2 MB | Adobe PDF |
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This paper was built with the intention of verifying the evolution, over the last decades, of the statistical significance of traditional factors used for equity factor investing, such as SMB(small minus big), HML(high minus low), MOM(momentum)and MKRTF(market risk premium), and others. The results obtained after the construction of a daily multi-factor portfolio and several single factor portfolios concluded on the rejection of the these factors are statistically significant, both globally and individually, even though financial results are, in some periods strong enough to consider these strategies reliable for trading purposes.
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Efficient market hypothesis Factor investing Long-short strategies Transaction costs