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What do robust equity portfolio models really do?
2012
Annals of Operations Research
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Most of previous work on robust equity portfolio optimization has focused on its formulation and performance. ...
To do so, we perform regressions with factor returns to explain how robust portfolios behave compared to portfolios generated from the Markowitz's meanvariance model. ...
Robustness Out-of-sample tests are performed on industry-level portfolios to compare the robustness of MV, R1, and R2. ...
doi:10.1007/s10479-012-1247-6
fatcat:j25p3mxctzd7bnl33yrp4s5kqm
Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach
2019
Folia Oeconomica Stetinensia
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Novelty: This paper discusses the puzzle of the long-term equity performance of initial public offerings (IPOs) using the calendar-time portfolio approach. ...
Research background: The study examines the performance of companies that are going public with equity issuance (IPO) in Poland. ...
This study does not seek to develop new methodologies for evaluating the long-run performance of equity issuers. ...
doi:10.2478/foli-2019-0004
fatcat:wjr6dkesgjbqdm56yaypbrmgy4
Capturing Profitability in Asset Pricing Models for Japanese Equities 1994-2016
2018
International Journal of Economics and Finance
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We test the predictive power of profit measures on cross-sectional stock returns using portfolio tests and Fama-MacBeth regressions, find that gross-profit-to-book-equity significantly predict returns ...
Consistent with Novy-Marx (2013), we also find that sorting portfolios by gross profitability and book-to-market ratios outperform in the Japanese market. ...
Large value and robust profitability portfolios perform best with 1.37% monthly returns. ...
doi:10.5539/ijef.v10n5p254
fatcat:eblwuhf5ozhrvmkb3qy2dfijl4
Profitability in Asset Pricing Models for Chinese Equities 1996-2016
2018
Journal of Economics and Public Finance
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I also find that sorting portfolios by gross profitability and size outperforms in the Chinese market. ...
I use portfolio tests and Fama-MacBeth regressions, find that gross-profit-to-market-capitalization ratios significantly predict returns on sampled stocks. ...
Small size and robust profitability portfolio performs best with 2.16% monthly returns. ...
doi:10.22158/jepf.v4n2p118
fatcat:xhrxt27qvnaajizomq56hbx5gi
Page 1659 of The Journal of Business Vol. 79, Issue 3
[page]
2006
The Journal of Business
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The same applies to Cochrane’s model when it is called to explain the 25 portfolios.
V. Robustness Tests
In this section we report results from robustness tests. ...
Investments and Equity Returns 1659
and particularly the small-growth portfolios. ...
Portfolio investment: Are commodities useful?
2017
Journal of Commodity Markets
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Rather generally, the results demonstrate that including individual commodities or the first-and second-generation commodity indices do little to enhance portfolio performance. ...
Portfolio Investment: Are Commodities Useful? This paper investigates the usefulness of commodities in investors' portfolios within a meanvariance optimization framework. ...
Estimation window K is set at 60 months and alternative sizes of K = 36, 48, 72 are checked for robustness. 17 Finally, we compare the performance between benchmark and expanded portfolios to assess if ...
doi:10.1016/j.jcomm.2017.10.002
fatcat:nix4csbflvd2ter2jehgixold4
Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation
2008
Social Science Research Network
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weight
Private Equity
Emerging Mkts
Real Estate
Commodities
Table 5 5 Portfolio weight alternative investments according to standard and robust optimisation depending on the expected excess return ...
Phalippou and Gottschalg (2007) and Driessen, Lin, and Phalippou (2007) , indicate that performance and risk estimates of private equity are biased in these indices. ...
doi:10.2139/ssrn.1146410
fatcat:t3m6mllmmzeldit4qt426gk7au
Incorporating uncertainty about alternative assets in strategic pension fund asset allocation
2008
Pensions An International Journal
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weight
Private Equity
Emerging Mkts
Real Estate
Commodities
Table 5 5 Portfolio weight alternative investments according to standard and robust optimisation depending on the expected excess return ...
Phalippou and Gottschalg (2007) and Driessen, Lin, and Phalippou (2007) , indicate that performance and risk estimates of private equity are biased in these indices. ...
doi:10.1057/palgrave.pm.5950063
fatcat:5o7zl47qefdopp2nhqedaz5ote
Explanatory Power of Pre-Issue Financial Strength for Long-Term Market Performance: Evidence From Initial Equity Offerings on an Emerging Market
2019
International Journal of Financial Studies
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We also check the robustness. ...
It is an important European equity market. Thus, research on IPO pricing explanation for Poland is important for both investors and academics. ...
of equity offerings. ...
doi:10.3390/ijfs7010016
fatcat:a7xwiysgx5gytpbi3j6ygprm7u
Factor Investing in the Corporate Bond Market
2014
Social Science Research Network
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The results are robust to transaction costs, alternative factor definitions and the specific portfolio construction settings. ...
The returns are up to three times larger than the market, and cannot be explained by risk or the equivalent equity factors. ...
[Insert Table 6 here]
Robustness checks In this section we check whether our findings are robust to the specific definition of the factors, the portfolio weighting, the portfolio size, and the performance ...
doi:10.2139/ssrn.2516322
fatcat:c4kn4kfaprfs7dq3nytwdweecq
Factor Investing in the Corporate Bond Market
2017
Financial analysts journal
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The results are robust to transaction costs, alternative factor definitions and the specific portfolio construction settings. ...
The returns are up to three times larger than the market, and cannot be explained by risk or the equivalent equity factors. ...
[Insert Table 6 here]
Robustness checks In this section we check whether our findings are robust to the specific definition of the factors, the portfolio weighting, the portfolio size, and the performance ...
doi:10.2469/faj.v73.n2.1
fatcat:2hzt7ucmjnb5pf5bjje75cskmm
Liquidity Risk, Return Predictability, and Hedge Funds' Performance: An Empirical Study
2013
Journal of Financial and Quantitative Analysis
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This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. ...
generate superior performance. ...
tests for the portfolio performance analysis: The first robustness test, in Panel A, is to evaluate the portfolio performance using the Fung and Hsieh (2004) model; the second robustness test, in Panel ...
doi:10.1017/s0022109012000634
fatcat:aifrzostzzfgli3rjty7cjzgfm
Page 315 of The Journal of Business Vol. 73, Issue 3
[page]
2000
The Journal of Business
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Robustness of the Calendar-Time Portfolio Regressions
While the calendar-time portfolio approach solves the dependence problem associated with event-time abnormal performance measures, it has several potential ...
The full-sample repurchase portfolios show no signs of abnormal performance on either an EW or VW basis. ...
Asset Pricing and Evidence of Price Discovery in Sustainable Equity Portfolios
2021
Lahore Journal of Business
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Based on the findings of the study, we propose the liquidity based three factor model as a significant explanatory model for the pricing of sustainable equity portfolios in Pakistan. ...
portfolios. ...
that the overall Islamic equity portfolios performed well than the non-Islamic equity portfolios, in the Fama-French five factor model. ...
doi:10.35536/ljb.2021.i1.v10.a4
fatcat:xqaaarptabalhmvy63mkrg4nse
Performance and Role of Singapore REITs in Multi-Asset Class Investment Portfolios
2011
Journal of Management Research
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Finally this research studied the issue of strategic asset allocation within multi-asset class investment portfolios comprising of equities, government bonds and S-REITs. ...
Second major investigations related to the potential diversification and performance enhancement that S-REITs as an asset class can bring to a multi-asset class investment portfolio of an investor. ...
Using historical data from 1990 to 2005, Idzorek et al. (2006) also analyzed the performances of multi-asset portfolios comprising of a mixture of six different classes of US equities and bonds, plus ...
doi:10.5296/jmr.v4i1.1016
fatcat:pvej6em74jedfebx7qoo63pzde
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