David Blitz

Robeco Quantitative Investments

Head Quantitative Research

Weena 850

Rotterdam, 3014 DA

Netherlands

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

56

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SSRN CITATIONS
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Top 4,040

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184

CROSSREF CITATIONS

147

Scholarly Papers (56)

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1.

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Downloads 16,396 ( 328)
Citation 20

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31 Posted: 07 Aug 2008 Last Revised: 21 Jun 2013
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 15,191 (367)
Citation 4

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GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008, ERIM Report Series Reference No. ERS-2008-033-F&A
Number of pages: 34 Posted: 08 Oct 2008 Last Revised: 18 Aug 2010
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,205 (26,035)
Citation 10

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GTAA, value effect, momentum, global asset allocation

2.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 12,179 (566)
Citation 9

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alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international

3.

The Conservative Formula: Quantitative Investing Made Easy

Number of pages: 21 Posted: 21 Mar 2018
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 6,970 (1,520)
Citation 3

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Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula

4.

Beyond Fama-French Factors: Alpha from Short-Term Signals

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 25 Jan 2023
David Blitz, Matthias X. Hanauer, Iman Honarvar, Rob Huisman and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,753 (2,934)

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short-term signals, market frictions, portfolio construction, transaction costs, investments, market efficiency

5.

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Downloads 4,352 ( 3,394)

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Number of pages: 25 Posted: 19 Feb 2009 Last Revised: 17 Jul 2009
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,352 (3,345)
Citation 2

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Journal of Asset Management, Vol. 12, No. 5, pp. 360-375, 2011
Posted: 10 Oct 2011
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

6.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
David Blitz, Matthias X. Hanauer, Milan Vidojevic and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,081 (3,813)
Citation 5

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asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum

7.

Residual Momentum

Downloads 4,018 ( 3,912)
Citation 9

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 4,018 (3,836)
Citation 9

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momentum, time-varying risk, stock-specific returns, residual returns

Residual Momentum

Journal of Empirical Finance, Vol. 18, 2011
Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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momentum, time-varying risk, stock-specific returns, residual returns

8.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 23 Nov 2021
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,779 (4,301)
Citation 7

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asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality

9.

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Downloads 3,777 ( 4,306)

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,777 (4,228)
Citation 15

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Journal of Portfolio Management, Forthcoming
Posted: 21 Nov 2013
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

10.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 3,560 (4,806)
Citation 14

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

11.

The Volatility Effect Revisited

Number of pages: 27 Posted: 26 Aug 2019
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 2,992 (6,442)
Citation 16

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low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing

12.

Short-Term Residual Reversal

Downloads 2,898 ( 6,778)

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions and Erasmus University - Rotterdam School of Management
Downloads 2,898 (6,656)
Citation 2

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions and Erasmus University - Rotterdam School of Management

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

13.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Joop Huij, Simon Lansdorp, David Blitz and Pim van Vliet
Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,708 (7,487)
Citation 12

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14.

The Quant Cycle

Number of pages: 27 Posted: 28 Sep 2021
David Blitz
Robeco Quantitative Investments
Downloads 2,449 (8,771)

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asset pricing, factor models, business cycle, value, momentum, low volatility, quality, behavioral finance

15.

Strategic Allocation to Premiums in the Equity Market

Downloads 2,266 ( 9,964)
Citation 10

Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
David Blitz
Robeco Quantitative Investments
Downloads 2,266 (9,779)
Citation 10

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

Strategic Allocation to Premiums in the Equity Market

Journal of Index Investing, Vol. 2, No. 4, pp. 42-49, 2012
Posted: 14 Mar 2012
David Blitz
Robeco Quantitative Investments

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

16.

Resurrecting the Value Premium

Number of pages: 27 Posted: 05 Oct 2020 Last Revised: 23 Oct 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 2,153 (10,857)
Citation 3

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Value Premium, Value Investing, Value Factor, HML, Factor Investing, Factor Premia, Smart Beta, Asset Pricing, Market Efficiency, Crowding

17.

The Performance of European Index Funds and Exchange-Traded Funds

Downloads 2,137 (10,988)
Citation 9

The Performance of European Index Funds and Exchange-Traded Funds

ERIM Report Series Reference
Number of pages: 31 Posted: 26 Jul 2009 Last Revised: 18 May 2010
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 2,126 (10,844)
Citation 1

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passive investing, index fund, ETF, dividend taxes, performance evaluation

The Performance of European Index Funds and Exchange‐Traded Funds

European Financial Management, Vol. 18, Issue 4, pp. 649-662, 2012
Number of pages: 14 Posted: 23 Aug 2012
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
Downloads 11 (879,993)

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The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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passive investing, index fund, ETF, dividend taxes, performance evaluation

18.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
David Blitz
Robeco Quantitative Investments
Downloads 2,057 (11,739)
Citation 4

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factor investing, factor premiums, smart beta, value, momentum, quality, low risk, low volatility, asset pricing, market efficiency, Fama-French model

19.

Factor Investing Revisited

Journal of Index Investing, Forthcoming
Number of pages: 22 Posted: 03 Jul 2015
David Blitz
Robeco Quantitative Investments
Downloads 2,016 (12,112)

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factor investing, smart beta, value, momentum, low volatility

20.

The Characteristics of Factor Investing

Number of pages: 27 Posted: 27 Jul 2018 Last Revised: 27 Oct 2018
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,849 (13,844)
Citation 5

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factor investing, smart beta, factor premiums, size, value, momentum, quality, low-volatility

21.

The Volatility Effect in Emerging Markets

Downloads 1,840 (13,955)

The Volatility Effect in Emerging Markets

Number of pages: 31 Posted: 06 May 2012 Last Revised: 18 Dec 2012
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments
Downloads 1,840 (13,698)
Citation 29

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

The Volatility Effect in Emerging Markets

Emerging Markets Review, Vol. 16, pp. 31-45, 2013
Posted: 14 Apr 2013 Last Revised: 21 Jun 2013
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

22.

Is the Relation between Volatility and Expected Stock Returns Positive, Flat or Negative?

Number of pages: 25 Posted: 08 Jul 2011
Pim van Vliet, David Blitz and Bart van der Grient
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Asset Management - Quantitative Strategies
Downloads 1,822 (14,156)
Citation 6

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23.

Are Exchange-Traded Funds Harvesting Factor Premiums?

Downloads 1,738 (15,280)
Citation 5

Are Exchange-Traded Funds Harvesting Factor Premiums?

Number of pages: 19 Posted: 07 Feb 2017 Last Revised: 20 Sep 2017
David Blitz
Robeco Quantitative Investments
Downloads 1,389 (21,011)
Citation 5

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

Are Exchange-Traded Funds Harvesting Factor Premiums?

Journal of Investment Consulting, Vol. 18, no. 1, 2017
Number of pages: 9 Posted: 02 Feb 2018
David Blitz
Robeco Quantitative Investments
Downloads 349 (129,846)

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

24.

Betting Against Quant: Examining the Factor Exposures of Thematic Indices

Number of pages: 16 Posted: 09 Aug 2021
David Blitz
Robeco Quantitative Investments
Downloads 1,595 (17,418)

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Thematic indices, asset pricing, factor exposures, value, growth, profitability, quant investing

25.

Strategic Allocation to Commodity Factor Premiums

Downloads 1,505 (18,994)

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management
Downloads 1,505 (18,649)
Citation 7

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

Strategic Allocation to Commodity Factor Premiums

Journal of Alternative Investments, Forthcoming
Posted: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

26.

Fundamental Indexation: An Active Value Strategy in Disguise

Downloads 1,500 (19,100)
Citation 5

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,500 (18,759)
Citation 5

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

Fundamental Indexation: An Active Value Strategy in Disguise

Journal of Asset Management, Vol. 9, No. 4, pp. 264-269, November 2007
Posted: 02 Nov 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

27.

How Can Machine Learning Advance Quantitative Asset Management?

Number of pages: 21 Posted: 10 Jan 2023
David Blitz, Tobias Hoogteijling, Harald Lohre and Philip Messow
Robeco Quantitative Investments, Robeco Asset Management, Robeco Quantitative Investments and Robeco Asset Management
Downloads 1,395 (21,348)

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machine learning, asset management, portfolio management, factor investing

28.

The Quant Crisis of 2018-2020: Cornered by Big Growth

Journal of Portfolio Management, Forthcoming
Number of pages: 26 Posted: 18 Feb 2021
David Blitz
Robeco Quantitative Investments
Downloads 1,379 (21,644)

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quant crisis, value premium, factor investing, factor premia, smart beta

29.

Factor Investing with Smart Beta Indices

Number of pages: 13 Posted: 29 Apr 2016 Last Revised: 04 Aug 2016
David Blitz
Robeco Quantitative Investments
Downloads 1,378 (21,673)
Citation 1

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factor investing, smart beta

30.

Settling the Size Matter

Number of pages: 18 Posted: 09 Sep 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 1,267 (24,630)
Citation 2

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31.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,208 (26,402)

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mutual fund performance, exchange-traded funds, ETFs, smart beta, factor investing, factor premiums, active versus passive, market efficiency

32.

Fundamental Indexation: Rebalancing Assumptions and Performance

Journal of Index Investing, Vol. 1, No. 2, pp. 82-88, 2010
Number of pages: 15 Posted: 25 Mar 2010 Last Revised: 30 Sep 2010
David Blitz, Bart van der Grient and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Investments
Downloads 1,205 (26,497)
Citation 1

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing

33.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 24 Jul 2017
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,100 (30,240)
Citation 4

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low volatility, low beta, profitability, betting against beta, 5-factor model

34.

Another Look at the Performance of Actively Managed Equity Mutual Funds

Number of pages: 43 Posted: 14 Feb 2012 Last Revised: 05 Feb 2013
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 1,046 (32,484)

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mutual fund performance, active versus passive, persistence, index funds, momentum

35.

Benchmarking Low-Volatility Strategies

Journal of Index Investing, Vol. 2, No. 1, pp. 44-49, 2011
Number of pages: 13 Posted: 28 Jun 2011
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,023 (33,511)
Citation 1

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benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha

36.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
David Blitz
Robeco Quantitative Investments
Downloads 1,015 (33,894)
Citation 3

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low volatility, low beta, betting against beta, value

37.

Are Hedge Funds on the Other Side of the Low-Volatility Trade?

Number of pages: 20 Posted: 13 Jan 2017 Last Revised: 27 May 2017
David Blitz
Robeco Quantitative Investments
Downloads 994 (34,964)
Citation 5

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Low-Volatility Anomaly, Low-Beta Anomaly, Betting against Beta, Limits to Arbitrage, Hedge Funds, Factor Investing

38.

Is Exclusion Effective?

Forthcoming, Journal of Portfolio Management
Number of pages: 10 Posted: 10 Feb 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 922 (38,832)
Citation 6

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

39.

130/30 Investing: Just Another Hype or Here to Stay?

Number of pages: 16 Posted: 14 May 2008
David Blitz
Robeco Quantitative Investments
Downloads 896 (40,394)
Citation 1

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Portfolio Management, Portfolio Construction, 130/30, Short-Extension, Alpha-Extension, Enhanced Active Strategies, Long-Only Constraint, Short Positions, Alpha, Beta, Equity Strategies, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

40.

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Downloads 858 (42,913)
Citation 5

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Number of pages: 29 Posted: 10 Feb 2011 Last Revised: 13 Jan 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 858 (42,318)
Citation 5

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passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Emerging Markets Review, Vol. 13, pp. 149-158, 2012
Posted: 06 Mar 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management

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Exchange-traded funds, Performance evaluation, Tracking error

41.

Shrinking Beta

Downloads 834 (44,484)

Shrinking Beta

Number of pages: 24 Posted: 23 Feb 2022
David Blitz, Laurens Swinkels, Kristina Ūsaitė and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Quantitative Investments
Downloads 834 (43,871)

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Beta, Correlation, Investing, Low-risk, Shrinkage, Volatility

Shrinking beta

Journal of Risk, Vol. 24, No. 6, 2022
Number of pages: 20 Posted: 02 Sep 2022
David Blitz, Laurens Swinkels, Kristina Ūsaitė and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Quantitative Investments
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beta, correlation, investing, low risk, shrinkage, volatility

42.

Expected Stock Returns When Interest Rates Are Low

Number of pages: 19 Posted: 28 Mar 2022
David Blitz
Robeco Quantitative Investments
Downloads 742 (52,089)

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Equity risk premium, expected stock returns, risk-free return, CAPE, asset allocation

43.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
David Blitz, Rob Huisman, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 656 (61,252)
Citation 1

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Alpha, Attention, Big Data, Investing, Media, News, Volatility

44.

Does Excluding Sin Stocks Cost Performance?

Number of pages: 26 Posted: 05 May 2021 Last Revised: 28 Jun 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 637 (63,634)
Citation 1

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Sin Stocks, Exclusion, Divestment, Environmental Social and Governance (ESG), Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Carbon Intensity, Paris-Aligned Investing, Climate Risk, Sustainable investing, Asset Pricing, Factor Investing

45.

Who owns tobacco stocks?

Number of pages: 42 Posted: 10 May 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 568 (73,579)
Citation 3

Abstract:

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Divestment, Environmental Social and Governance (ESG), Exclusion, Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Sustainable investing, Tobacco

46.

Macro Risk of Low-Volatility Portfolios

Number of pages: 18 Posted: 23 Sep 2022
David Blitz
Robeco Quantitative Investments
Downloads 565 (74,052)

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low-volatility investing, macro risk, Covid pandemic, climate risk, factor investing, quant investing

47.

Agency-Based Asset Pricing and the Beta Anomaly

Downloads 483 (89,953)
Citation 6

Agency-Based Asset Pricing and the Beta Anomaly

Number of pages: 51 Posted: 29 May 2012 Last Revised: 20 Dec 2012
David Blitz
Robeco Quantitative Investments
Downloads 482 (89,285)
Citation 2

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

Agency‐Based Asset Pricing and the Beta Anomaly

European Financial Management, Vol. 20, Issue 4, pp. 770-801, 2014
Number of pages: 32 Posted: 16 Sep 2014
David Blitz
Robeco Quantitative Investments
Downloads 1 (1,000,455)
Citation 1

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asset pricing, beta anomaly, volatility anomaly, Fama‐French 3‐factor model, agency problems, delegated portfolio management

Agency-Based Asset Pricing and the Beta Anomaly

European Financial Management, Forthcoming
Posted: 16 Jan 2014
David Blitz
Robeco Quantitative Investments

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

48.

The Volatility Effect in China

Journal of Asset Management, Forthcoming
Number of pages: 20 Posted: 19 Jan 2021 Last Revised: 16 Apr 2021
David Blitz, Matthias X. Hanauer and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 451 (97,474)

Abstract:

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China A shares, low risk, low volatility, low beta, minimum variance, anomaly, value, size, momentum, profitability, investments, smart beta, low-volatility investing

49.

Does Sustainable Investing Deprive Unsustainable Firms from Fresh Capital?

Number of pages: 23 Posted: 23 Dec 2020
David Blitz, Laurens Swinkels and Jan Anton van Zanten
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 439 (100,598)

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Sustainable investing, Socially Responsible Investing (SRI), Environmental Social and Governance (ESG), Sustainable Development Goals (SDGs), Exclusion, Divestment; Issuance; Capital flows

50.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming
Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018
David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Fintelligence CCT, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 420 (105,980)

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

51.

Carbon-Tax-Adjusted Value

Number of pages: 23 Posted: 03 Dec 2021
David Blitz and Tobias Hoogteijling
Robeco Quantitative Investments and Robeco Asset Management
Downloads 376 (120,262)

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Carbon tax, efficient frontier, value investing, value premium, decarbonization, sustainable investing, ESG

52.

Betting Against Oil: The Implications of Divesting from Fossil Fuel Stocks

Number of pages: 19 Posted: 06 Dec 2021 Last Revised: 07 Jan 2022
David Blitz
Robeco Quantitative Investments
Downloads 315 (145,854)

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Fossil fuel, divestment, exclusion, sustainable investing, ESG, oil, asset pricing

53.

The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills

Number of pages: 23 Posted: 25 Feb 2020
David Blitz
Robeco Quantitative Investments
Downloads 291 (158,399)
Citation 1

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asset pricing, risk-free asset, CAPM, equity beta, bond beta

54.

Do Tobacco Share Owners Finance the Tobacco Business?

Number of pages: 24 Posted: 28 May 2020 Last Revised: 07 Aug 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 252 (183,271)
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Cost-of-capital, ESG investing, Portfolio management, Sin stocks, Sustainability, Tobacco

55.

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Journal of Portfolio Management, Vol. 44, No. 1, 2017
Posted: 10 Aug 2017
David Blitz and Frank J. Fabozzi
Robeco Quantitative Investments and EDHEC Business School

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sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model

56.

Tracking Error Allocation

Journal of Portfolio Management, Vol. 27, No. 4, pp. 19-25, 2001
Posted: 20 Jul 2010
David Blitz and Jouke Hottinga
Robeco Quantitative Investments and AEGON Group

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Risk budgeting, tracking error, risk management