The Limitations Of Factor Investing: Impact Of The Volkswagen Scandal On Concentrated Versus Diversified Factor Indices

Volkswagen has been caught up in one of the most notorious scandals in corporate history by installing cheat software to reduce emissions during testing. The news broke on the eve of Friday, 18 September 2015 and the stock markets heavily penalised Volkswagen AG and other automobile stocks, including suppliers, on Monday, 21 September 2015. ...