S. P. Kothari's Anomalies and Efficient Portfolio Formation PDF

By S. P. Kothari

ISBN-10: 0943205603

ISBN-13: 9780943205601

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Thomas. 1990. ” Journal of Accounting and Economics, vol. 13, no. 4 (December):305–340. , and R. Litterman. 1992. ” Financial Analysts Journal, vol. 48, no. 5 (September/October):28–43. , A. Kane, and A. Marcus. 2002. Investments. New York: Irwin McGraw-Hill. , and J. Heaton. 2002. ” Review of Financial Studies, vol. 15, no. 2 (Special):575–606. Chan, K. 1988. ” Journal of Business, vol. 61, no. 2 (April):147–163. , J. Lakonishok, and J. Ritter. 1992. ” Journal of Financial Economics, vol. 31, no.

Next, we consider the regression equation of quintile excess return on the market index excess return. We use the simple notation yt = α + βxt + εt . For out-of-sample return observations x and y, the corresponding predictive regression is y = αˆ + βˆ x + [ ⑀ + ( α – αˆ ) + ( β – βˆ ) x ] , (A1) where αˆ and βˆ are regression estimates based on data from t = 1 to T. From the Bayesian perspective, these estimates are the predictive regression coefficients (α∗ and β∗ in the notation used in the section “Implementing Bayesian Analysis”) and the expression in brackets is the predictive regression residual.

As in earlier work, the BV/MV and momentum effects are large. 0 percentage points for the momentum quintiles. book Page 46 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation fully invested in Q5—high BV/MV or strong momentum. Moreover, this optimal allocation held true for the value stocks even if we injected a healthy dose of conservatism and reduced the alphas by half! The optimal tilt toward strong-momentum stocks with the reduced alpha was about 80 percent. , long in Q5 and short in Q1), but strategies based on these spreads are less relevant from a practical investment perspective.

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Anomalies and Efficient Portfolio Formation by S. P. Kothari

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