Package org.drip.investing.factorspec

Class CapitalizationCategory

java.lang.Object
org.drip.investing.factorspec.CapitalizationCategory
public class CapitalizationCategory
extends java.lang.Object
CapitalizationCategory holds the Settings of the Market Cap Factor Category. The References are:

  • Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums Journal of Financial Economics 142 (3) 1128-1154
  • Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return Journal of Portfolio Management 34 (1) 102-113
  • Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936 eSSRN
  • Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market Financial Analysts Journal 73 (2) 100-115
  • Wikipedia (2024): Factor Investing https://en.wikipedia.org/wiki/Factor_investing


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int BIG
    The "Big" Capitalization Factor Category
    static int SMALL
    The "Small" Capitalization Factor Category
    static int UNDEFINED
    The "Undefined" Capitalization Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    CapitalizationCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • UNDEFINED

      public static final int UNDEFINED
      The "Undefined" Capitalization Factor Category
      See Also:
      Constant Field Values

    • SMALL

      public static final int SMALL
      The "Small" Capitalization Factor Category
      See Also:
      Constant Field Values

    • BIG

      public static final int BIG
      The "Big" Capitalization Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • CapitalizationCategory

      public CapitalizationCategory()