Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea
This study investigates whether the profitability of various factor investments is sustainable after costs due to price impact, and estimates the capacity of strategies in the Korean stock market. With various initial amounts invested as of the end of December 2000, we analyze after-cost-returns on...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-09-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/11/17/4797 |