| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9769
|
| DP9769 Buffett?s Alpha |
| Lasse Heje Pedersen
|
| 发表日期 | 2013-12-01
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett?s leverage is about 1.6-to-1 on average. Buffett?s returns appear to be neither luck nor magic, but, rather, reward for the use of leverage combined with a focus on cheap, safe, quality stocks. Decomposing Berkshires? portfolio into ownership in publicly traded stocks versus wholly-owned private companies, we find that the former performs the best, suggesting that Buffett?s returns are more due to stock selection than to his effect on management. These results have broad implications for market efficiency and the implementability of academic factors. |
| 主题 | Financial Economics
|
| 关键词 | Betting against beta
Leverage
Market efficiency
Quality
Value
|
| URL | https://cepr.org/publications/dp9769
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538605
|
推荐引用方式
GB/T 7714 |
Lasse Heje Pedersen. DP9769 Buffett?s Alpha. 2013.
|
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