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Alpha forecasting in factor investing: discriminating between the informational content of firm characteristics |
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| Authors: | Heinrich Lars Zurek Martin |
| Institution: | 1.W&W Asset Management GmbH, Tambourstraße, 70806, Kornwestheim, Germany ;2.Viadrina European University, Große Scharrnstraße 59, 15230, Frankfurt (Oder), Germany ; |
| Abstract: | Financial Markets and Portfolio Management - This paper applies a linear alpha forecasting framework to enhance commonly used factor investing strategies by taking into account the informational... |
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