Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316657 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 25 [Issue:] 3 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2024 [Pages:] 303-325
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
Abstract At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.
Subjects: 
Investments
Asset pricing
Trading costs
Market impact
Portfolio construction
Cost-efficiency
Persistent Identifier of the first edition: 
Additional Information: 
G11;G12;G15
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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