{"id":"https://openalex.org/W2421900563","doi":"https://doi.org/10.1108/jrf-02-2016-0026","title":"An investor\u2019s perspective on risk-models and characteristic-models","display_name":"An investor\u2019s perspective on risk-models and characteristic-models","publication_year":2016,"publication_date":"2016-05-16","ids":{"openalex":"https://openalex.org/W2421900563","doi":"https://doi.org/10.1108/jrf-02-2016-0026","mag":"2421900563"},"language":"en","primary_location":{"id":"doi:10.1108/jrf-02-2016-0026","doi":"https://doi.org/10.1108/jrf-02-2016-0026","is_oa":false,"landing_page_url":"https://doi.org/10.1108/jrf-02-2016-0026","pdf_url":null,"source":{"id":"https://openalex.org/S61561007","display_name":"The Journal of Risk Finance","issn_l":"1526-5943","issn":["1526-5943","2331-2947"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-20","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Risk Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044108899","display_name":"Christian Fieberg","orcid":"https://orcid.org/0000-0001-7148-2092","observed_orcids":["https://orcid.org/0000-0001-7148-2092"]},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Christian Fieberg","raw_affiliation_strings":["Department of Finance, University of Bremen, Bremen, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5113706975","display_name":"Thorsten Poddig","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Thorsten Poddig","raw_affiliation_strings":["Department of Finance, University of Bremen, Bremen, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010871333","display_name":"Armin Varmaz","orcid":"https://orcid.org/0000-0001-6879-313X","observed_orcids":["https://orcid.org/0000-0001-6879-313X"]},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Armin Varmaz","raw_affiliation_strings":["School of International Business, Bremen, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of International Business, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I180437899"],"apc_list":null,"apc_paid":null,"fwci":0.5098,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.74832186,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"17","issue":"3","first_page":"262","last_page":"276"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0017999999690800905,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-characteristics","display_name":"stock characteristics","score":0.7889999747276306},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.7369999885559082},{"id":"https://openalex.org/keywords/momentum","display_name":"momentum","score":0.5189999938011169},{"id":"https://openalex.org/keywords/size-effect","display_name":"size effect","score":0.5899999737739563},{"id":"https://openalex.org/keywords/book-to-market-ratio","display_name":"book-to-market ratio","score":0.9049999713897705},{"id":"https://openalex.org/keywords/four-factor-model","display_name":"four-factor model","score":0.7670000195503235},{"id":"https://openalex.org/keywords/investor-performance","display_name":"investor performance","score":0.4300000071525574},{"id":"https://openalex.org/keywords/german-stock-market","display_name":"German stock market","score":0.7129999995231628},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.7450000047683716}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6550403833389282},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5785665512084961},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.5751492977142334},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.546280562877655},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5134185552597046},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5097724795341492},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5014355182647705},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.45548146963119507},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4479934573173523},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.41215741634368896},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.35723111033439636},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.1343154013156891},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.12831702828407288},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1108/jrf-02-2016-0026","doi":"https://doi.org/10.1108/jrf-02-2016-0026","is_oa":false,"landing_page_url":"https://doi.org/10.1108/jrf-02-2016-0026","pdf_url":null,"source":{"id":"https://openalex.org/S61561007","display_name":"The Journal of Risk Finance","issn_l":"1526-5943","issn":["1526-5943","2331-2947"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-20","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Risk Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eme:jrf000:jrf-02-2016-0026","doi":null,"is_oa":false,"landing_page_url":"https://www.emerald.com/insight/content/doi/10.1108/JRF-02-2016-0026.html?utm_source=repec&utm_medium=feed&utm_campaign=repec","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:eme:jrfpps:jrf-02-2016-0026","doi":null,"is_oa":false,"landing_page_url":"https://www.emerald.com/insight/content/doi/10.1108/JRF-02-2016-0026/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:eme:jrfpps:v:17:y:2016:i:3:p:262-276","doi":null,"is_oa":false,"landing_page_url":"http://www.emeraldinsight.com/10.1108/JRF-02-2016-0026?utm_campaign=RePEc&WT.mc_id=RePEc","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W1483008754","https://openalex.org/W1966649566","https://openalex.org/W1968305514","https://openalex.org/W1981449610","https://openalex.org/W1995834279","https://openalex.org/W2032070664","https://openalex.org/W2054147641","https://openalex.org/W2088400949","https://openalex.org/W2093260403","https://openalex.org/W2105125616","https://openalex.org/W2116277545","https://openalex.org/W2116347131","https://openalex.org/W2125520394","https://openalex.org/W2131177033","https://openalex.org/W2136120210","https://openalex.org/W2151306296","https://openalex.org/W2166215547","https://openalex.org/W2169645335","https://openalex.org/W2173913116","https://openalex.org/W2219943099","https://openalex.org/W2301440917","https://openalex.org/W2336683413","https://openalex.org/W3121251221","https://openalex.org/W3122771055","https://openalex.org/W3122849058","https://openalex.org/W3122909691","https://openalex.org/W3123181404","https://openalex.org/W3124285530","https://openalex.org/W3124539167","https://openalex.org/W3124833605","https://openalex.org/W3125720591"],"related_works":["https://openalex.org/W2967698458","https://openalex.org/W7100889770","https://openalex.org/W3122771055","https://openalex.org/W3180790978","https://openalex.org/W945158611","https://openalex.org/W147909024","https://openalex.org/W3121348788","https://openalex.org/W2512431532","https://openalex.org/W2945483471","https://openalex.org/W2950675066"],"abstract_inverted_index":{"Purpose":[0],"In":[1],"capital":[2],"markets,":[3],"research":[4],"risk":[5,46,104,122,202],"factor":[6,47,105,123,203],"loadings":[7,48,106,124],"and":[8,63,131,139,165,179],"characteristics":[9,40,134,150,200],"are":[10],"considered":[11],"as":[12,98],"opposing":[13],"explanations":[14],"for":[15],"the":[16,29,39,45,59,68,71,83,92,102,116,121,126,132,168,198],"cross-sectional":[17],"dispersion":[18],"in":[19,38,44,82,95,158],"average":[20],"stock":[21,118],"returns.":[22],"However,":[23],"there":[24],"is":[25,56],"little":[26],"known":[27],"about":[28],"performance":[30,60],"an":[31,112],"investor":[32],"would":[33],"obtain":[34],"who":[35],"believes":[36],"either":[37],"explanation":[41,49],"(CB-investor)":[42],"or":[43,107,201],"(RB-investor).":[50],"The":[51,109,142,182],"purpose":[52],"of":[53,61,85,101],"this":[54],"paper":[55],"to":[57,78,192,197],"compare":[58,67],"CB-":[62],"RB-investors.":[64],"Design/methodology/approach":[65],"To":[66],"competing":[69],"strategies,":[70],"authors":[72,110,183],"propose":[73],"a":[74,99,173,185],"simple":[75],"new":[76],"approach":[77,188],"equity":[79,137],"portfolio":[80,93,176,186,195],"optimization":[81,187],"style":[84],"Brandt":[86],"et":[87],"al.":[88],"(2009)":[89],"by":[90],"modeling":[91],"weight":[94],"each":[96],"asset":[97],"function":[100],"asset's":[103],"characteristics.":[108],"perform":[111],"empirical":[113],"analysis":[114],"on":[115,149,152],"German":[117],"market,":[119],"exploiting":[120],"from":[125],"Carhart":[127],"(1997)":[128],"four-factor":[129],"model":[130],"respective":[133],"size,":[135],"book-to-market":[136],"ratio":[138],"momentum.":[140],"Findings":[141],"results":[143],"show":[144],"that":[145,189],"investment":[146,156,170],"strategies":[147,157,171],"relying":[148],"(particularly":[151],"momentum)":[153],"outperform":[154,172],"risk-based":[155],"horse":[159],"races.":[160],"These":[161],"findings":[162],"hold":[163],"in-":[164,178],"out-of-sample.":[166,180],"Furthermore,":[167],"characteristics-based":[169],"value-weighted":[174],"market":[175],"strategy":[177],"Originality/value":[181],"introduce":[184],"enables":[190],"investors":[191],"directly":[193],"link":[194],"decisions":[196],"firm\u2019s":[199],"loadings.":[204]},"counts_by_year":[{"year":2022,"cited_by_count":4},{"year":2019,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}