David Blitz
YOU?
Author Swipe
View article: Carbon-Tax-Adjusted Value
Carbon-Tax-Adjusted Value Open
We examine the effects of incorporating a potential tax on carbon emissions into a value investment strategy. We show that in a portfolio optimization problem, a carbon tax at the stock level is mathematically equivalent to a carbon constr…
View article: Shrinking beta
Shrinking beta Open
Beta is used in many applications, ranging from asset pricing tests to cost of capital estimation, investment management and risk management. Beta needs to be estimated, and shrinkage to its cross-sectional average value of 1 is often appl…
View article: Does excluding sin stocks cost performance?
Does excluding sin stocks cost performance? Open
We examine the impact of excluding sin stocks on expected portfolio risk and return. Exclusions involve risk relative to the market and peers. We show how this tracking error can be translated into an equivalent loss in expected return, wh…
View article: The Quant Crisis of 2018–2020: Cornered by Big Growth
The Quant Crisis of 2018–2020: Cornered by Big Growth Open
This paper examines the performance of equity factor portfolios during the Quant Crisis of 2018-2020. We find that there was basically only one way to outperform during this period, namely by investing in the largest and most expensive gro…
View article: Does Sustainable Investing Deprive Unsustainable Firms of Fresh Capital?
Does Sustainable Investing Deprive Unsustainable Firms of Fresh Capital? Open
This article examines the sustainability characteristics of listed firms that raise fresh capital by issuing stocks or bonds. Issuance—that is, the primary market—should be of paramount importance to sustainable investors because this is w…
View article: When Equity Factors Drop Their Shorts
When Equity Factors Drop Their Shorts Open
Although factor premiums originate in both long and short legs of factor portfolios, we found that (1) most added value comes from the long legs, (2) the long legs offer more diversification than the short legs, and (3) the performance of …