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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) :
University of Luxembourg
EDHEC Business School
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.| 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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Located in Lille, Nice, Paris, London and Singapore, EDHEC is one of the 20 best business schools in the world. Resolutely international and directly connected to the world of business, it is known for the excellence of its research and its capacity to train entrepreneurs and managers able to move the lines.
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