| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9049 |
| 来源ID | Working Paper 9049 |
| Evaluating Value Weighting: Corporate Events and Market Timing | |
| Owen A. Lamont | |
| 发表日期 | 2002-07-11 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Corporate events, such as new issues and new lists, appear in waves. These waves imply that the market portfolio has a time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return. Most of the reduction in aggregate market returns caused by holding new lists comes from timing, not from average underperformance. When new lists are a high fraction of the market, subsequent returns for both new and old lists are low. A mean variance optimizing investor holding the market would be better off replacing holdings of new lists with old lists, t-bills, or even currency stuffed in a mattress. |
| 主题 | Financial Economics ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w9049 |
| 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/566658 |
| 推荐引用方式 GB/T 7714 | Owen A. Lamont. Evaluating Value Weighting: Corporate Events and Market Timing. 2002. |
| 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 | ||
| w9049.pdf（475KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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