Page d'accueil // FDEF // Actualités // Uni.lu Finance Professor wins Invesco Factor Investing Prize

Uni.lu Finance Professor wins Invesco Factor Investing Prize

twitter linkedin facebook email this page
Publié le mardi 27 septembre 2022

Prof. Benjamin Holcblat has won the Invesco Factor Investing Prize for his paper, “Anomaly or Possible Risk Factor. Simple to use Tests,” co-authored with Abraham Lioui (EDHEC Business School) and Michael Weber (Booth School of Business, University of Chicago, CEPR, and NBER).

Presented during the Frontiers of Factor Investing conference on 16 September 2022 at Lancaster University (UK), the paper proposes economically founded and easy to implement tests to distinguish market anomalies from possible risk factors. The findings indicate that risk alone cannot explain a large majority of variables predicting differences in expected returns. Hence, the paper explains the success of factor investing. A detailed summary of the paper and findings, as well as a link to the full working paper can be found on our website.

The award, which came with a cash prize of GBP 1,000, was presented by Bernhard Langer, Chief Investment Officer, and Carsten Rother, Research Analyst, both at Invesco Quantitative Strategies.