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A Filtering Strategy for Improving Charateristics-Based Portfolios

서상원
경제연구소 (Hanyang Economic Research Institute)|2021.06|Journal of Economic Development|제46권 제2호|pp. 119-153|DOI 10.35866/caujed.2021.46.2.004

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참고문헌

키워드

SortingMarket AnomalyFirm CharacteristicsFiltered Sorting
주제분류경제학

초록

In this paper, we propose new indexes to measure the predictive power for future returns possessed by firm characteristics and find that the predictive power significantly differs across the cross-section of assets. We also propose a filtering strategy to improve conventional characteristics-based portfolio profits. The new strategy filters out assets with low predictive power. We apply the new strategy to equity data and find that it significantly outperforms the conventional strategy for several well-known firm characteristics. We also find that characteristics-based portfolio profits are not prevalent but rather driven by only a small subset of stocks.

Abstract

In this paper, we propose new indexes to measure the predictive power for future returns possessed by firm characteristics and find that the predictive power significantly differs across the cross-section of assets. We also propose a filtering strategy to improve conventional characteristics-based portfolio profits. The new strategy filters out assets with low predictive power. We apply the new strategy to equity data and find that it significantly outperforms the conventional strategy for several well-known firm characteristics. We also find that characteristics-based portfolio profits are not prevalent but rather driven by only a small subset of stocks.

참고문헌 (47)

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관련 논문AI추천

PORTFOLIO SELECTION USING NEW FACTORS BASED ON FIRM CHARACTERISTICS서상원경제연구소 · Journal of Economic Development2018 · 제43권 제1호Efficient Mimicking Portfolios in Asset Pricing Tests김건호, 김진용, 이정환한국경제학회 · The Korean Economic Review2021 · 제37권 제2호The P/B Ratio : Level Versus Change곽승욱한국재무관리학회 · 재무관리연구2013 · 제30권 제3호Nonlilearity in Valuation Ratio and Its Implications on Long-Horizon Stock Return Predictability이호진경제연구소 · Journal of Economic Research (JER)2006 · 제11권 제2호Test of Return Predictability: A New Two-Step Procedure배진호한국계량경제학회 · 계량경제학보2009 · 제20권 제4호The Book-to-Market Anomaly in the Chinese Stock Markets안지연, KIN-YIP HO, Lanyue Zhou대외경제정책연구원 · East Asian Economic Review2015 · 제19권 제3호

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