| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6412 |
| 来源ID | Working Paper 6412 |
| Positive Portfolio Factors | |
| Stephen J. Brown; William N. Goetzmann; Mark Grinblatt | |
| 发表日期 | 1998-02-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | We use an iterative relocation algorithm to identify factors in common stock returns. The benefit of the approach is that factors are portfolios of assets with non-negative weights. As a result, they are readily interpreted in terms of their characteristics of the underlying securities. The positive portfolio factors have comparatively high explanatory power in sample and out-of-sample. We find evidence of a size factor and factors identified with certain industries. Factors extracted from the mutual fund universe perform marginally better than factors from the universe of equities. |
| URL | https://www.nber.org/papers/w6412 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563926 |
| 推荐引用方式 GB/T 7714 | Stephen J. Brown,William N. Goetzmann,Mark Grinblatt. Positive Portfolio Factors. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6412.pdf（665KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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