The Rise of Factor Investing: "Passive" Security Design and Market Implications
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https://www.nber.org/papers/w32016
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资源简介：
We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions, CSs
提供机构：
美国国家经济研究局
创建时间：
2024-01-01
