Studie – Faktorové investování

Studie – Faktorové investování

CAPM – Tržní faktor – Beta

• Market Value, Time, and Risk – Jack L. Treynor (1961)
  
• Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk – William F. Sharpe (1964)
  
• The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets – John Lintner (1965)
  
• Equilibrium in a Capital Asset Market – Jan Mossin (1966)

Faktor nízké volatility – Low Volatility

• On the Evidence Supporting the Existence of Risk Premiums in the Capital Market – R.Haugen, J. Heins (1972)
  
• The efficient market inefficiency of capitalisation weighted stock portfolios – Robert A. Haugen, Nardin L. Bake (1991)
  
• The Volatility Effect: Lower Risk Without Lower Return – David Blitz, Pim van Vliet (2007)
  
• The Volatility Effect Revisited – David Blitz, Pim van Vliet, Guido Baltussen (2019)

Hodnotový faktor – Value

• Investment performance of common stocks in relation to their price-earnings ratio: a test of the arket hypothesis – Sanjoy Basu (1977)
  
• Persuasive Evidence of Market Inefficiency – Rosenberg, Reid a Lanstein (1985)

Faktor velikosti – Size

• The Relationship Between Return and Market Value of Common Stocks – Rolf Banz (1981)
  
• Size Matters, If You Control Your Junk – Asness, Frazzini, Moskowitz, Pedersen (2015)
  
• Settling the Size Matter – Blitz a Hanauer (2020)

Třífaktorový model od Fama a Frenche

• The Cross-Section of Expected Stock Returns – Eugene F. Fama a Kenneth R. French (1992)
  
• Common risk factors in the returns on stocks and bonds – Eugene F. Fama a Kenneth R. French (1992)

Faktor setrvačnosti – Momentum

• Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency – Narasimhan Jegadeesh, Sheridan Titman (1993)
  
• On Persistence in Mutual Fund Performance – Mark M. Carharta (1997)
  
• International Momentum Strategies – K. Geert Rouwenhorst (1998)
  
• A model of investor sentiment – Barberis, Shleifer and Vishny (1998)
  
• Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies – Hong, Lim and Stein (2000)
  
• Downside risk – Ang, Chen and Xing (2006)
  
• Conditional risk premia in currency markets and other asset classes – Lettau, Maggiori, Weber (2014)

Faktor kvality – Quality

• Do brokerage analysts’ recommendations have investment value? – Kent L. Womack (1996)
  
• Do stock prices fully reflect information in accruals and cashflows about future earnings? – Richard G. Sloan (1996)
  
• Cashflow risk, systematic earnings revisions and the cross section of stock returns – Da, Warachka (2009)

Carhartův čtyřfaktorový model

• On persistence in mutual fund performance – Mark Carhart (1997)

Faktor investic – Investment

• Capital Investments and Stock Returns – Titman, Wei, Xie (2004)

Faktor ziskovosti – Profitability

• The other side of value: The gross profitability premium – Robert Novy-Marx (2013)
  
• Profitability, Investment and Average Returns – Eugene F. Fama and Kenneth R. French (2006)

Pětifaktorový model od Fama a French

• A five-factor asset pricing model – Eugene F. Fama and Kenneth R. French (2015)
  
• Quality Investing – Robert Novy-Marx (2014)

Šestifaktorový model

• Our Model Goes to Six and Saves Value From Redundancy Along the Way – AQR Capital Management, Cliff Asness (2015)