Yadwinder Garg

Bank of Montreal - BMO Global Asset Management

115 S. LaSalle, 11th Floor

Chicago, IL 60603

United States

  • Bank of Montreal - BMO Global Asset Management

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Transaction Costs of Factor Investing Strategies

Financial Analysts Journal, Spring 2019, Forthcoming
Number of pages: 40 Posted: 22 Apr 2019
Feifei Li, Tzee-man Chow, Alex J. Pickard and Yadwinder Garg
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates, LLC and Bank of Montreal - BMO Global Asset Management
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Abstract:

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factor investing, smart beta, transactions costs, implementation costs, implicit market impact cost, market impact cost model, capacity