IDEAS home Printed from https://ideas.repec.org/a/taf/ufajxx/v76y2020i4p73-99.html
   My bibliography  Save this article

When Equity Factors Drop Their Shorts

Author

Listed:
  • David Blitz
  • Guido Baltussen
  • Pim van Vliet

Abstract

Although factor premiums originate in both long and short legs of factor portfolios, we found that (1) most added value comes from the long legs, (2) the long legs offer more diversification than the short legs, and (3) the performance of the short legs is generally subsumed by that of the long legs. These results are robust over size, time, and markets and cannot be attributed to differences in tail risk. We also found that the claim that the value and low-risk factors are subsumed by the new (post-2015) Fama–French factors does not hold for the long legs of these factors.Disclosure: The authors disclose that they are employed by Robeco, a firm that offers various investment products. The construction of these products may, at times, draw on insights related to this research. No other person or party at Robeco except the authors had the right to review this article prior to its circulation. The views and results presented in this article were not driven by the views or interests of Robeco and are not a reflection of its points of view. Editor’s Note Submitted 21 November 2019Accepted 29 May 2020 by Stephen J. BrownThis article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Malcolm Baker and one anonymous reviewer were the reviewers for this article.

Suggested Citation

  • David Blitz & Guido Baltussen & Pim van Vliet, 2020. "When Equity Factors Drop Their Shorts," Financial Analysts Journal, Taylor & Francis Journals, vol. 76(4), pages 73-99, October.
  • Handle: RePEc:taf:ufajxx:v:76:y:2020:i:4:p:73-99
    DOI: 10.1080/0015198X.2020.1779560
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/0015198X.2020.1779560
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/0015198X.2020.1779560?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:ufajxx:v:76:y:2020:i:4:p:73-99. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/ufaj20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.