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What do robust equity portfolio models really do?

Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi
2012 Annals of Operations Research  
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

Joanna Lizińska, Leszek Czapiewski
2019 Folia Oeconomica Stetinensia  
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

Dong Liu, Hiroshi Yadohisa
2018 International Journal of Economics and Finance  
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

Dong Liu
2018 Journal of Economics and Public Finance  
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  
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?

Lei Yan, Philip Garcia
2017 Journal of Commodity Markets  
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

Wilma de Groot, Laurens A. P. Swinkels
2008 Social Science Research Network  
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

Wilma de Groot, Laurens Swinkels
2008 Pensions An International Journal  
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

Leszek Czapiewski, Joanna Lizińska
2019 International Journal of Financial Studies  
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

Patrick Houweling, Jeroen van Zundert
2014 Social Science Research Network  
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

Patrick Houweling, Jeroen van Zundert
2017 Financial analysts journal  
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

Rajna Gibson Brandon, Songtao Wang
2013 Journal of Financial and Quantitative Analysis  
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  
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

Abdul Qadeer, Ashfaq Ahmad
2021 Lahore Journal of Business  
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

Anthony Wong, Canon Tong, Yeong Ming Keow
2011 Journal of Management Research  
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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