Harindra De Silva

Allspring Global Investments

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Non-Linear Factor Returns in the U.S. Equity Market

Financial Analysts Journal, volume 80, issue 3, 2024 [10.1080/0015198X.2024.2351020]
Number of pages: 1 Posted: 31 Jan 2024 Last Revised: 09 Aug 2024
Roger Clarke, Harindra De Silva and Steven Thorley
Independent, Allspring Global Investments and BYU Marriott School of Business
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Abstract:

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Equity Market Factors, Non-Linear Return, Pure Factor Portfolios, Value Factor, Price Momentum, Small Size Effect, Low Beta/Risk Anomaly, Profitability/Quality Factor