Banks play a special role as providers of informative signals about the quality and value of
their borrowers. Such signals, however, may have a quality of their own as the banks' …

Although factor investing has become an industry standard, the debate over which factors
drive the risk and return of various asset classes across the globe is ongoing. The literature …

We study the effect of bank loan announcements on the borrowing firms' bond and equity
prices. Our sample consists of 896 loan deals signed between 1997 to 2003 involving 364 …

In our paper, Gupta, Leung, and Roscovan (2021), we study the information content of consumer
spending on the cross-section of stock returns. The authors find that consumer spending…

In Factor Investing: From Theory to Practice , from the Winter 2022 issue of The Journal of
Beta Investment Strategies, Tarun Gupta, Jay Raol, and Viorel Roscovan (all of Invesco) …

The existence of multiple credit rating agencies (CRAs) and firms’ demand for multiple ratings
suggests that there must be instances in which CRAs disagree. We investigate whether …

This article navigates the landscape of factor investing, and dissects various methodologies
that aim to strategically align factor investor goals and objectives with effective portfolio …

We study the effect of bank loan announcements on the borrowing firms' bond and equity
prices. Our sample consists of 896 loan deals signed between 1997 to 2003 involving 364 …

Recent research on default risk has shown that most of the variation in credit spreads is driven
by a common yet unidentifiable factor. I find that bond turnover explains up to 11% of this …

A low volatility portfolio aims to exploit the fact that, in the long run, low-risk stocks yield higher
risk-adjusted returns than higher-risk stocks. But the low volatility portfolio’s lower beta–via …