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- W3126075010 abstract "What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, in spite of the specific costs associated to shorting, or is it preferable to ban the shorts and hedge the long-leg with -- say -- an index future? We revisit this question by focusing on the relative predictability of the two legs, the issue of diversification, and various sources of costs. Our conclusion is that, using the same Factors, a Long-Short implementation leads to superior risk-adjusted returns than its Hedged Long-Only counterpart, at least when Assets Under Management are not too large." @default.
- W3126075010 created "2021-02-01" @default.
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- W3126075010 date "2020-01-01" @default.
- W3126075010 modified "2023-10-16" @default.
- W3126075010 title "Equity Factors: To Short Or Not To Short, That Is The Question" @default.
- W3126075010 doi "https://doi.org/10.2139/ssrn.3557879" @default.
- W3126075010 hasPublicationYear "2020" @default.
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