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
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 |
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