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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Strategic complementarity and substitutability of investment strategies |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 22-04 |
| Number of Pages | 53 |
| Date | 2023 |
| Abstract Text | Investors in equities tend to follow well-defined investment strategies based on characteristics such as market capitalization and dividend yield or factors such as size, value, momentum and quality which capture the cross-section of asset returns. In this paper, we explore the interaction of such investment strategies in a demand-driven framework. The aim is to quantify the impact of a reallocation of capital between strategies on the cross-section of their performance. The main finding is that self- and cross-impact caused by the reallocation of capital can explain capacity of strategies, correlation of returns and the cyclical nature of investment strategies’ risk premia. |
| Free access at | DOI |
| Digital Object Identifier | 10.2139/ssrn.4003060 |
| Other Identification Number | merlin-id:21832 |
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