Factor Investing is becoming increasingly important for both practitioners and academics. This dissertation focuses on the implications of factor investing for the efficiency of financial markets, the underlying drivers of factor premiums, the way factor investing strategies are implemented, and the added value for the end investors. In the first chapter, we show that assets invested in factor strategies have grown exponentially over the recent years, but factor investing is still far from the mature state of passive investing.
In the second chapter, we document abnormal price reaction around factor index rebalancing driven by the demand of index funds. In chapter three, we find that the return predictive power of the quality factor originates from its ability to predict future earnings growth. Finally, we show evidence that factor investing requires a long-term focus to efficiently harvest its premiums.

Additional Metadata
Keywords Factor premiums, size, value, momentum, quality, low-risk, market efficiency, mutual funds, fund flows
Promotor M.J.C.M. Verbeek (Marno) , J.J. Huij (Joop)
Publisher Erasmus University Rotterdam
ISBN 978-90-5892-535-0
Persistent URL hdl.handle.net/1765/116463
Series ERIM Ph.D. Series Research in Management
Citation
Kyosev, G.S. (2019, May 10). Essays on Factor Investing (No. EPS-2019-474-F&A). ERIM Ph.D. Series Research in Management. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/116463