| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24164 |
| 来源ID | Working Paper 24164 |
| The Cross-Section of Risk and Return | |
| Kent Daniel; Lira Mota; Simon Rottke; Tano Santos | |
| 发表日期 | 2018 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance information estimated from past returns. We apply our methodology to the five Fama and French (2015) characteristic portfolios. The squared Sharpe ratio of the optimal combination of the resulting characteristic efficient portfolios is 2.16, compared with 1.16 for the original characteristic portfolios. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24164 |
| 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/581838 |
| 推荐引用方式 GB/T 7714 | Kent Daniel,Lira Mota,Simon Rottke,et al. The Cross-Section of Risk and Return. 2018. |
| 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 | ||
| w24164.pdf（1834KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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