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Asset ManagementA Systematic Approach to Factor Investing$
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Andrew Ang

Print publication date: 2014

Print ISBN-13: 9780199959327

Published to Oxford Scholarship Online: August 2014

DOI: 10.1093/acprof:oso/9780199959327.001.0001

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Factors

Factors

Chapter:
(p.213) Chapter 7 Factors
Source:
Asset Management
Author(s):

Andrew Ang

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199959327.003.0007

Factors drive risk premiums. One set of factors describes fundamental, economy-wide variables like growth, inflation, volatility, productivity, and demographic risk. Another set consists of tradeable investment styles like the market portfolio, value-growth investing, and momentum investing. The economic theory behind factors can be either rational, where the factors have high returns over the long run to compensate for their low returns during bad times, or behavioral, where factor risk premiums result from the behavior of agents that is not arbitraged away.

Keywords:   Risk premiums, real growth, inflation, volatility, productivity, political risk, demography, dynamic factors, alternative beta, size, value-growth, momentum

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