Publication: Strategic complementarity and substitutability of investment strategies
Strategic complementarity and substitutability of investment strategies
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Doskov, N., Hens, T., & Schenk-Hoppe, K. R. (2023). Strategic complementarity and substitutability of investment strategies (No. 22–04; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4003060
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Investors in equities tend to follow well-defined investment strategies based on characteristics such as market capitalization and dividend yield or factors such as size, value, momentum and quality which capture the cross-section of asset returns. In this paper, we explore the interaction of such investment strategies in a demand-driven framework. The aim is to quantify the impact of a reallocation of capital between strategies on the cross-section of their performance. The main finding is that self- and cross-impact caused by the re
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Doskov, N., Hens, T., & Schenk-Hoppe, K. R. (2023). Strategic complementarity and substitutability of investment strategies (No. 22–04; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4003060
