Juan Pang

APG asset Management

Gustav Mahlerplein 3

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 22,935

in Total Papers Citations

34

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.
Downloads 1,632 ( 11,393)
Citation 27

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 1,632 (11,189)
Citation 27

Abstract:

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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

Abstract:

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

2.

The Cross-Section of Stock Returns in Frontier Emerging Markets

Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.
Number of pages: 56 Posted: 13 May 2010 Last Revised: 07 Oct 2012
Robeco Asset Management, APG asset Management and Erasmus University Rotterdam (EUR)
Downloads 1,338 (15,544)
Citation 14

Abstract:

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Alpha, Behavioral finance, Emerging markets, Frontier Markets, Momentum effect, Size effect, Value effect