PhD Defence: Georgi Kyosev
In his dissertation ‘Essays on Factor Investing’ Georgi Kyosev focuses on the implications of factor investing for the efficiency of financial markets, the underlying drivers of factor premiums, the way factor investing strategies are implemented, and the added value for the end investors.
Georgi Kyosev defended his dissertation in the Senate Hall at Erasmus University Rotterdam on Thursday, 10 May 2019 at 13:30. His supervisors were Prof. Marno Verbeek (RSM) and Dr Joop Huij (RSM). Other members of the Doctoral Committee are Prof. Stephen Schaefer (London Business School), Prof. Tom Steenkamp (VU Amsterdam) and Prof. Mathijs van Dijk (RSM).
Georgi Kyosev was born in Plovdiv, Bulgaria on March 29, 1988. He studied at the High school of Mathematics where he obtained his gymnasium diploma in 2007. From 2007 to 2012 Georgi studied at University of National and World Economy, Sofia Bulgaria, where he received his BSc degree in Finance. He continued his higher education in the Rotterdam School of Management (RSM), Erasmus University in the Netherlands where in 2013 he obtained a MSc degree in Finance and Investments with appellation cum laude as well as “best thesis” award. In September 2014 Georgi joined the Department of Finance of RSM Erasmus University as a PhD Candidate. His PhD trajectory was supported by the Erasmus Research Institute of Management (ERIM). He presented his research at several international conferences and seminars, including the 2017 Midwest Finance Association conference in Chicago, the 2018 American Finance Association conference in Philadelphia, and the 2019 Eastern Finance Association conference in Miami. His research has also been featured in leading practitioners outlets such as Bloomberg and Citywire. The article version of Chapter “Factor Investing From Concept To Implementation” of his dissertation is published in the Journal of Portfolio Management, and the article version of the Chapter “Does Earnings Growth Drive the Quality Premium?” is at second round of revision at the Journal of Banking and Finance. During his PhD trajectory, Georgi also studied at London School of Economics and Political Science. Georgi's teaching experience include Master courses in the MSc of “Finance and Investments” and MSs of “Finance and Investments – Advanced” programs as well as supervision of Master theses at RSM Erasmus University. Georgi also teaches executive courses in the field of asset pricing as well as gives lectures for VBA Netherlands. Since 2013 Georgi holds a research position at Robeco Asset Management. His work has been fundamental to the Robeco QI Quality fund, Robeco multi-factor equities, and Robeco multi-factor indices. His research interests include empirical asset pricing and mutual funds.
Factor Investing is becoming increasingly important for both practitioners and academics. This dissertation focuses on the implications of factor investing for the efficiency of financial markets, the underlying drivers of factor premiums, the way factor investing strategies are implemented, and the added value for the end investors. In the first chapter, we show that assets invested in factor strategies have grown exponentially over the recent years, but factor investing is still far from the mature state of passive investing. In the second chapter, we document abnormal price reaction around factor index rebalancing driven by the demand of index funds. In chapter three, we find that the return predictive power of the quality factor originates from its ability to predict future earnings growth. Finally, we show evidence that factor investing requires a long-term focus to efficiently harvest its premiums.
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