Cost mitigation of factor investing in emerging equity markets

IF 1.5 Q3 BUSINESS, FINANCE
Kay Stankov, Dirk Schiereck, Volker Flögel
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引用次数: 0

Abstract

At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.

Abstract Image

降低新兴股票市场要素投资的成本
在要素投资研究的初期,投资领域主要集中在发达市场,交易成本很少受到重视。在新兴股票市场进行因子投资的高昂交易成本影响了最佳投资组合决策。基于因子投资组合倾斜的总成本估算,一种简单的成本缓解方法提高了净业绩。我们利用市场影响的结构,通过限制订单规模与相关股票的短期流动性来间接控制成本。这种具有成本效益的策略能带来更好的可实施性和更低的成交价格,同时对总业绩可能产生的负面影响也被抵消得差不多了。
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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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