02030101 TMBA TMBA #tm_1th_2 > li:nth-child(3) > ul > li.toy_0 > a 02030101 TMBA TMBA #mprovide > div > div > div.box.box1 > ul > li:nth-child(1) > a 02030201 IMBA IMBA #tm_1th_2 > li:nth-child(3) > ul > li.toy_1 > a 02030201 IMBA IMBA #mprovide > div > div > div.box.box1 > ul > li:nth-child(2) > a 02030301 EMBA EMBA #tm_1th_2 > li:nth-child(3) > ul > li.toy_2 > a 02030301 EMBA EMBA #mprovide > div > div > div.box.box1 > ul > li:nth-child(4) > a 02030401 PMBA PMBA #tm_1th_2 > li:nth-child(3) > ul > li.last.toy_3 > a 02030401 PMBA PMBA #mprovide > div > div > div.box.box1 > ul > li:nth-child(3) > a 02040101 FMBA FMBA #tm_1th_2 > li:nth-child(4) > ul > li.toy_0 > a 02040101 FMBA FMBA #mprovide > div > div > div.box.box3 > ul > li:nth-child(1) > a 02040201 MFE MFE #tm_1th_2 > li:nth-child(4) > ul > li.toy_1 > a 02040201 MFE MFE #mprovide > div > div > div.box.box3 > ul > li:nth-child(3) > a 02040401 IMMBA IMMBA #tm_1th_2 > li:nth-child(4) > ul > li.toy_2 > a 02040401 IMMBA IMMBA #mprovide > div > div > div.box.box3 > ul > li:nth-child(2) > a 02040501 IMMS IMMS #tm_1th_2 > li:nth-child(4) > ul > li.toy_3 > a 02040501 IMMS IMMS #mprovide > div > div > div.box.box3 > ul > li:nth-child(4) > a 02040601 SEMBA SEMBA #tm_1th_2 > li:nth-child(4) > ul > li.toy_4 > a 02040601 SEMBA SEMBA #mprovide > div > div > div.box.box3 > ul > li:nth-child(6) > a 02040701 GP GP #tm_1th_2 > li:nth-child(4) > ul > li.last.toy_5 > a 02040701 GP GP #mprovide > div > div > div.box.box3 > ul > li:nth-child(7) > a 02040701 admission admission #txt > div.sub0303.mt_20 > div.btn_wrap > a 02040701 GP GP #mprovide > div > div > div.box.box3 > ul > li:nth-child(7) > a
본문 바로가기 사이트 메뉴 바로가기 주메뉴 바로가기

Arbitrage Portfolios

REVIEW OF FINANCIAL STUDIES2021-06

Kim, Soohun | Korajczyk, Robert A | Neuhierl, Andreas

We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics’ predictive power before any attribution is made to abnormal returns. We apply the methodology to simulated economies and to a large panel of U.S. stock returns. The methodology works well in our simulation and when applied to stocks. Empirically, we find the arbitrage portfolio has (statistically and economically) significant alphas relative to several popular asset pricing models and annualized Sharpe ratios ranging from 1.31 to 1.66.

Publisher
OXFORD UNIV PRESS INC
Issue Date
2021-06
Article Type
Article
Citation
REVIEW OF FINANCIAL STUDIES, Vol.34, No.6, pp.2813 - 2856
ISSN
0893-9454
DOI
10.1093/rfs/hhaa102
만족도조사

이 페이지에서 제공하는 정보에 대하여 만족하십니까?

콘텐츠담당자 : 주선희 연락처 : 02-958-3602

교수 & 연구

관심자등록

KCB ISSUE