| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14153 |
| DP14153 The Low-Minus-High Portfolio and the Factor Zoo | |
| Daniel Andrei; Julien Cujean; Mathieu Fournier | |
| 发表日期 | 2019-11-28 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always explain, together with the market, 100% of the cross-sectional variation in returns. Yet, this portfolio, which we coin the “Low-Minus-High (LMH) portfolio,” need not proxy for fundamental risk. We show theoretically how factors based on valuation ratios (e.g, book-to-market), or on investment rates, can be proxies for the LMH portfolio. More generally, the empiricist can uncover an infinity of proxies for the LMH portfolio, thus unleashing the factor zoo. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp14153 |
| 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/543040 |
| 推荐引用方式 GB/T 7714 | Daniel Andrei,Julien Cujean,Mathieu Fournier. DP14153 The Low-Minus-High Portfolio and the Factor Zoo. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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