Paolo Miranda

BlackRock, Inc - London

Drapers Gardens

12 Throgmorton Ave

London, EC2N 2DL

United Kingdom

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Capacity of Smart Beta Strategies: A Transaction Cost Perspective

Columbia Business School Research Paper No. 16-76
Number of pages: 26 Posted: 31 Oct 2016 Last Revised: 09 Mar 2017
Ronald Ratcliffe, Paolo Miranda and Andrew Ang
BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc
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Abstract:

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Capacity, smart beta, factor risk premium, transaction cost