RECHERCHE ET PUBLICATIONS

Desperately Seeking Pure Style Indexes

Noël Amenc, Robert Faff, Lionel Martellini: There is an urgent need for improved measurement and benchmarking of size and booktomarket (style) performance.

Auteur(s) :

Noel Amenc

EDHEC Graduate School of Business and Misys Asset Management Systems

Robert Faff

Department of Accounting and Finance, Monash University

Lionel Martellini

EDHEC Graduate School of Business

Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide a somewhat confusing picture of the return on these factors. In this paper, we present detailed evidence of strong heterogeneity in the information conveyed by competing indexes. We also report disturbing evidence that this heterogeneity poses serious problems, not only for modern portfolio analysis, but also for empirical tests of asset pricing theory. This is somewhat reminiscent of Roll’s (1977) critique of CAPM: if the “true” book-to- market and size factors are not observable, and if there is very little robustness with respect to the choice of the proxy used in empirical tests, then the relevance of these factors in asset pricing theory may never be empirically testable. As an attempt to address some of these problems, in exploratory analysis we suggest various methodologies designed to help extract a “pure style index” from competing index returns.

Type : Working paper
Date : le 01/01/2003
Pôle de recherche Finance

A voir également

Finance climatique, projets à impact positif, campus durables : l'EDHEC se mobilise pour les générations futures
Actualités
- 30-06-2022
A l'heure où 77% des jeunes diplômés considèrent l'impact sociétal comme un critère...
Challenge néGO :  Apprendre à négocier comme des professionnels
Actualités
- 29-06-2022
Les formations initiales de l’EDHEC intègrent des exercices construits avec des...
Focus sur le premier salon durable de l'EDHEC International BBA
Actualités
- 23-06-2022
Le 7 avril a eu lieu le « premier salon durable » organisé sur nos campus de Lille et...
Pré-Master de l’EDHEC : bilan et nouveautés
Actualités
- 23-06-2022
En 2021, l’année de Pré-Master avait été marquée par de nouvelles évolutions. Hager...