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

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.

Type: Working paper
Date: le 07/04/2014
Research Cluster : Finance

See Also

Yijia Zhang, Student Prize Best Thesis: Simply the Best
News
- 21-10-2020
First of all, congratulations! You must be very pleased. How do you feel about winning...
[ Start-ups compétition ] Palmarès EDHEC Entrepreneurs du Concours
News
- 20-10-2020
L'Incubateur EDHEC Entrepreneurs est fier de partager le Palmarès 2020 de la 6ème...
News
- 20-10-2020
The EDHEC Student Against the Crisis was a collaboration between students and companies to create strategies that would help them address critical issues posed by the Covid-19 pandemic in...
Webinar Alex Edmans: Taking a look beyond the Numbers
News
- 20-10-2020
Professor Alex Edmans has had an interesting and varied career path, having worked in...