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Factor investing: A stock selection methodology for the European equity market
Figuerola Ferretti Garrigues, Isabel Catalina; Bermejo Climent, Ramón; Santos Moreno, Álvaro; Hevia, Tomás (2021-10-14)This paper uses European high capitalization corporate data for the 1991–2019 period to demonstrate that a systematic active management portfolio based on the identification of value, profitability, and momentum factors can ... -
Factor Investing: A stock Selection system for The European Equity Market
Figuerola Ferretti Garrigues, Isabel Catalina; Santos Moreno, Alvaro; Bermejo Climent, Ramón; Hevia, TomásThis paper uses the universe of European corporate data for the 1991-2016 period to demonstrate that systematic portfolio active management based on the identification of value, profitability and momentum factors is able ...