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...
(3.18 MB)
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

See Also

OTHERWISE#4 is online !
- 23-03-2017
One of EDHEC’s hallmarks is “being where it is not expected to be” and OTHERWISE...
Support the new generation of students
- 20-03-2017
Support the new generation of students Act for EDHEC! Many Alumni in the UK have...
Emmanuel Metais named new Dean of EDHEC Business School
- 17-03-2017
EDHEC Business School is pleased to announce Emmanuel Métais’s appointment as the new...
MSc in Data Analytics & Digital Business: a new master designed to bridge the gap between data specialists and decision makers
- 13-03-2017
EDHEC Business School is pleased to announce the launch of a new MSc in Data Analytics...