Chapter 4 Factor investing and asset pricing anomali…

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Chapter 4 Factor
investing and asset
pricing anomalies
Asset pricing anomalies are the foundations of
factor investing. In this chapter our aim is twofold:

present simple ideas and concepts: basic

factor models, common empirical facts (time-
varying nature of returns and risk premia);
provide the reader with lists of articles that go
much deeper to stimulate and satisfy curiosity.

The purpose of this chapter is not to provide a full

treatment of the many topics related to factor
investing. Rather, it is intended to give a broad
overview and cover the essential themes so that
the reader is guided towards the relevant
references. As such, it can serve as a short, non-