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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing? |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | European financial management |
| Publisher | Wiley-Blackwell Publishing, Inc. |
| Geographical Reach | international |
| ISSN | 1354-7798 |
| Volume | 24 |
| Number | 5 |
| Page Range | 829 - 855 |
| Date | 2018 |
| Abstract Text | We study the difference between the returns to the integrated approach to style investing and those to the mixed approach. Unlike the mixed approach, the integrated approach aggregates factor characteristics at security level. Recent literature finds that the integrated approach dominates the mixed approach. Using statistical tools for robust performance testing, we demystify these findings as a statistical fluke. We do not find any evidence favoring the integrated approach. What we do find is that the integrated approach exhibits a higher sensitivity to the low-risk anomaly. However, this reduction in risk does not lead to an improvement in performance. |
| Free access at | DOI |
| Digital Object Identifier | 10.1111/eufm.12139 |
| Other Identification Number | merlin-id:14803 |
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