Identifying portfolio-based systematic risk factors in equity markets

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)


Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
Original languageEnglish
Peer-reviewed scientific journalFinance Research Letters
Issue numberMay
Pages (from-to)88-92
Number of pages5
Publication statusPublished - 2016
MoE publication typeA1 Journal article - refereed


  • 511 Economics
  • Asset pricing model
  • Betting-against-beta factor;
  • Quality factor
  • Investment factor
  • Profitability factor
  • 512 Business and Management


Dive into the research topics of 'Identifying portfolio-based systematic risk factors in equity markets'. Together they form a unique fingerprint.

Cite this