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.
Pdf
Equal or Value Weighting? Implications for Asset-Pricing Tests...
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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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