Research and publications
Desperately Seeking Pure Style Indexes
There is an urgent need for improved measurement and benchmarking of size and book-to-market (style) performance. Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide a somewhat confusing picture of the return on these factors.
Author(s):
Noël Amenc, Robert Faff, Lionel Martellini
Summary:
There is an urgent need for improved measurement and benchmarking of size and book-to-market (style) performance. Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide a somewhat confusing picture of the return on these factors.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 15/09/2003 |
| Keywords : |
Indexes |
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