We question a deep-ingrained doctrine in asset pricing: If an empirical characteristic-return relation is consistent with investor "rationality," the relation must be "explained" by a risk factor mode
This paper provides a comprehensive analysis of portfolios of active mutual funds and ETFs through the lens of risk (anomaly) factors. We show that these funds do not systematically tilt their portfol
This dataset contains Raw data series used in Figure 1, Table 2, and Table 4 from Baltussen, Swinkels, and Van Vliet (2021; "Global factor premiums", Journal of Financial Economics). IMPORTANT: This d
