Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316657 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 25 [Issue:] 3 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2024 [Pages:] 303-325
Verlag: 
Palgrave Macmillan UK, London
Zusammenfassung: 
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.
Schlagwörter: 
Investments
Asset pricing
Trading costs
Market impact
Portfolio construction
Cost-efficiency
Persistent Identifier der Erstveröffentlichung: 
Sonstige Angaben: 
G11;G12;G15
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Dokumentart: 
Article
Dokumentversion: 
Published Version
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