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?
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|
|Pôle de recherche||Finance|