S. P. Kothari's Anomalies and Efficient Portfolio Formation PDF
By S. P. Kothari
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Extra info for Anomalies and Efficient Portfolio Formation
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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.
Anomalies and Efficient Portfolio Formation by S. P. Kothari