Equal or Value Weighting? Implications for Asset-Pricing Tests

Yuliya Plyakha, Raman Uppal, Grigory Vilkov: Does the choice of weighting scheme used to form test portfolios influence inferences drawn from empirical tests of asset pricing?

Author(s) :

Yuliya Plyakha

University of Luxembourg

Raman Uppal

EDHEC Business School

Grigory Vilkov

Mannheim University and Goethe University Frankfurt

Presentation :

To answer this question we first show that, with monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of total mean return, four-factor alpha, and Sharpe ratio.
Pdf
Equal or Value Weighting? Implications for Asset-Pricing Tests...
(-1.00 B)
Type : Working paper
Date : le 07/04/2014
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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