Shiyang Huang
Institution
The University of Hong Kong
PhD Year
2015
Phone
(852)3917-8564
huangsy@hku.hk
FTG Membership
Member
Website
https://www4.fbe.hku.hk/~huangsy/
Featured Work
Oct 4, 2025
The Rise of Factor Investing: "Passive" Security Design and Market Implications
Exchange-Traded-Funds, smart beta products, and many index-based vehicles are composite securities (CSs) facilitating trading systematic factors through reducing investors' duplicated costs in trading multiple securities. We analytically show that CS designers in competition optimally select liquid underlying assets representative of the factors, which ETF data corroborates. CS trading entails investors' active decisions, and impounds more systematic information into prices. The rise of CSs creates greater...
