Alpha factors are built to perform well over time, on average. There are instances when they
do not, and knowing these instances ex ante can be a significant source of added value for …

Abstract In this article, Miller, Ooi, Lee, and Giamouridis develop a hybrid model that relies
on the nonlinear classification decision tree (DT) approach, and also on multivariate …

When factor investing is applied to emerging equity markets, due to the universe's illiquid
structure, the market friction must be considered. Risk-adjusted on-paper returns of such …

In the first essay, in contrast to some earlier studies, I document statistically significant within-
country style effects in several emerging Asian equity market portfolios. Small capitalization …

We examined mean premium of emerging market stock return over that of US market for the
period January 1995 to December 2007. Our results indicate that premium is not positive for …