creator Li, Shengsi 2019 Spring 2019 Dissertation Illinois Institute of Technology SSB / Stuart School of Business advisor Cai, Li Finance Factor Investing Financial Indexing Market Anomalies Profitability Smart Beta Stock Return en Stock market anomalies have been long researched by academia and used by practitioners. Factor-based allocation has been shown to provide better diversification and risk-adjusted returns than the more traditional portfolio approaches. Numerous studies have shown traditional factors such as value, size, and profitability are effective in a cross-sectional fashion, meaning they are effective to all sections. It is found that the factor-return link is not robust across different sectors. Based on this observation, some stylized factor-based investing strategies are refined to improve the return performance measured by risk-adjusted metrics. Further analysis of the firm age moderation effect on the prediction power of profitability over stock return is explored. It is shown that firm age could have a significant moderation effect on the academically proven profitability factor. born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access http://hdl.handle.net/10560/islandora:1000843