notices - See details
Notices
KS
Keith Smith (not verified)
12th September 2017 | 10:21am

Have you examined the effects of factor investing on the factors themselves? Factor investing began in 1993 with DFA's products but has since then grown rapidly (esp since 2008). This increase in popularity has coincided with poor performance for value so it would imply some portion of the factor being arbed away. Is there any evidence that the value factor will mean revert exclusive of the period where factor investing did not influenced pricing?