Sentences with phrase «systematic value premium»
If one is a proponent of Fama - French and the belief that there is a systematic value premium and a small cap premium, the equal - weighted sector approach is a way to emphasize those factors.
http://swanglobalinvestments.com/ Not exact matches
The just launched ValueShares US Quantitative Value (QVAL) ETF appears to be an efficient, transparent, well formulated, and systematic vehicle to capture the value premium historically delivered by the US market... and maybe Value (QVAL) ETF appears to be an efficient, transparent, well formulated, and systematic vehicle to capture the value premium historically delivered by the US market... and maybe value premium historically delivered by the US market... and maybe more.
The purpose of this paper, a joint work with Vasiliki Athanasakou, is to examine whether a value premium exists over our sample period, whether systematic risk is driving the value premium, whether idiosyncratic risk does a better job than systematic risk in explaining the value premium, and more importantly whether earnings quality contributes to a risk, mispricing or both explanations for the value premium.