PORTFOLIO SELECTION USING NEW FACTORS BASED ON FIRM CHARACTERISTICS

키워드

참고문헌 (57)

1. Ahn, D.H., "Basis Sssets", Review of Financial Studies, 22, pp.5133~5174 (2009)
2. Banz, R. W., "The Relationship between Return and Market Value of Common Stocks", Journal of Financial Economics, 9, pp.3~18 (1981)
3. Barberis, N., "Investing for the Long Run when Returns are Predictable", Journal of Finance, 55, pp.225~264 (2000)
4. Basu, S., "Investment Performance of Common Stocks in Relation to their Priceearnings Ratios : A Test of the Efficient Market Hypothesis", Journal of Finance, 12, pp.129~156 (1977)
5. Best, M.J., "On the Sensitivity of Mean-variance Efficient Portfolios to Changes in Asset Means : Some Analytical and Computational Results", Review of Financial Studies, 4, pp.315~342 (1991)
6. Black, F., "Capital Market Equilibrium with Restricted Borrowing", Journal of Business, 45, pp.444~455 (1972)
7. Black, F., "Global Portfolio Optimization", Financial Analysts Journal, 48, pp.28~43 (1992)
8. Brandt, M. W., "Handbook of Financial Econometrics vol 1" (2010), Elsevier
9. Brandt, M. W., "Parametric Portfolio Policies : Exploiting Characteristics in the Cross-section of Equity Returns", Review of Financial Studies, 22, pp.3411~3447 (2009)
10. Brown, S., "The Portfolio Choice Problem: Comparison of Certainty Equivalent and Optimal Bayes Portfolios", Communications in Statistics: Simulation and Computation, Ahn, D.H., J. Conrad and R.F. Dittmar (2009) “Basis Sssets,” Review of Financial Studies, 22, 5133-5, pp.321~334 (1978)
11. Campbell, J.Y., "Explaining the Poor Performance of Consumption-based Asset Pricing Models", Journal of Finance, 55, pp.2863~2878 (2000)
12. Carhart, M. M., "On Persistence in Mutual Fund Performance", Journal of Finance, 52, pp.57~82 (1997)
13. Cass, D., "The Structure of Investor Preference and Asset Returns, Separability in Portfolio Allocation : A Contribution to the Pure Theory of Mutual Funds", Journal of Economic Theory, 2, pp.122~160 (1970)
14. Chan, L.K.C., "Fundamentals and Stock Returns in Japan", Journal of Finance, 46, pp.1739~1789 (1991)
15. Land of Addicts? An Empirical Investigation of Habit-based Asset Pricing Models, "Chen, X.", New York University, ~ (2004)
16. Chopra, V.K., "The Effects of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice", Journal of Portfolio Management, (Winter), pp.6~11 (1993)
17. Connor, G., "Performance Measurement with the Arbitrage Pricing Theory : A New Framework for Analysis", Journal of Financial Economics, 15, pp.373~394 (1986)
18. Daniel, K., "Market Reactions to Tangible and Intangible Information", Journal of Finance, 61, pp.1605~1643 (2006)
19. DeMiguel, V., "Size Matters : Optimal Calibration of Shrinkage Estimators for Portfolio Selection", Journal of Banking and Finance, 37, pp.3018~3034 (2013)
20. Dickinson, J. P., "The Reliability of Estimation Procedures in Portfolio Analysis", Journal of Financial and Quantitative Analysis, 9, pp.447~462 (1974)
21. Fama, E. F., "The Behavior of Stock Market Prices", Journal of Business, 38, pp.34~105 (1965)
22. Fama, E.F., "Common Risk Factors in the Returns on Bonds and Stocks", Journal of Financial Economics, 33, pp.3~56 (1993)
23. Frost, P.A., "An Empirical Bayes Approach to Efficient Portfolio Selection", Journal of Financial and Quantitative Analysis, 21, pp.293~305 (1986)
24. Green, R.C., "When will Mean-variance Efficient Portfolios be well Diversified?", Journal of Finance, 47, pp.1785~1809 (1992)
25. Hansen, L.P., "Assessing Specification Errors in Stochastic Discount Factor Models", Journal of Finance, 52, pp.557~590 (1997)
26. Hjalmarsson, E., "Characteristic-based Mean-variance Portfolio Choice", Journal of Banking and Finance, 36, pp.1392~1401 (2012)
27. Hodrick, R.J., "Evaluating the Specification Errors Asset Pricing Models", Journal of Financial Economics, 62, pp.327~376 (2001)
28. Jagannathan, R., "Relationship between Labor-income Risk and Average Return : Empirical Evidence from the Japanese Stock Market", Journal of Business, 71, pp.319~348 (1998)
29. Jagannathan, R., "The Conditional CAPM and the Cross-section of Expected Returns", Journal of Finance, 51, pp.3~53 (1996)
30. James, W., "Estimation with Quadratic Loss", Proceedings of the Fourth Berkeley Symposium on Mathematics and Statistics, pp.361~379 (1961)
31. Jegadeesh, N., "Evidence of Predictable Behavior of Security Returns", Journal of Finance, 45, pp.881~898 (1990)
32. Jobson, J.D., "Estimation for Markowitz Efficient Portfolios", Journal of American Statistical Association, 75, pp.544~554 (1980)
33. Jobson, J.D., "Putting Markowitz Theory to Work", Journal of Portfolio Management, 7, pp.70~74 (1981)
34. Jobson, J. D., "Improved Estimation for Markowitz Portfolios using James-Stein Type Estimators", Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp.279~284 (1979)
35. Jorion, P., "Bayes-Stein Estimation for Portfolio Analysis", Journal of Financial and Quantitative Analysis, 21, pp.279~292 (1986)
36. Jorion, P., "Bayesian and CAPM Estimators of the Means : Implications for Portfolio Selection", Journal of Banking and Finance, 15, pp.717~727 (1991)
37. Kan, R., "Pricing Model Performance and the Two-pass Cross-sectional Regression Methodology", Journal of Finance, 68, pp.2617~2649 (2013)
38. Kandel, S., "Portfolio Inefficiency and the Cross-section of Expected Returns", Journal of Finance, 50, pp.157~184 (1995)
39. Kandel, S., "On the Predictability of Stock Returns : An Asset-allocation Perspective", Journal of Finance, 51, pp.385~424 (1996)
40. Keim, D. B., "Size-related Anomalies and Stock Return Seasonality : Further Empirical Evidence", Journal of Financial Economics, 12, pp.13~32 (1983)
41. Klein, R.W., "The Effect of Estimation Risk on Optimal Portfolio Choice", Journal of Financial Economics, 3, pp.215~231 (1976)
42. Lakonishok, J., "Contrarian Investment, Extrapolation, and Risk", Journal of Finance, 49, pp.1541~1578 (1994)
43. Lehmann, B., "Fads, Martingales and Market Efficiency", Quarterly Journal of Economics, 105, pp.1~28 (1990)
44. Lettau, M., "Consumption, Aggregate Wealth and Expected Stock Returns", Journal of Finance, 56, pp.815~849 (2001)
45. Lintner, J., "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics, 47, pp.13~37 (1965)
46. MacKinlay, A.C., "Asset Pricing Models : Implications for Expected Returns and Portfolio Selection", Review of Financial Studies, 13, pp.883~916 (2000)
47. Markowitz, H., "Portfolio Selection", Journal of Finance, 7, pp.77~91 (1952)
48. Michaud, R. O., "The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?", Financial Analyst Journal, 45, pp.31~42 (1989)
49. Pástor, L., "Portfolio Selection and Asset Pricing Models", Journal of Finance, 50, pp.179~223 (2000)
50. Rosenberg, B., "Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, 11, pp.9~17 (1985)
51. Roll, R., "An Empirical Investigation of the Arbitrage Pricing Theory", Journal of Finance, 35, pp.1073~1103 (1980)
52. Ross, S. A., "Mutual Fund Separation in Financial Theory : The Separating Distributions", Journal of Economic Theory, 17, pp.254~286 (1978)
53. Rouwenhorst, K. G., "International Momentum Strategies", Journal of Finance, 53, pp.267~284 (1998)
54. Sharpe, W. F., "Capital Asset Prices : A Theory of Market Equilibrium Under Conditions of Risk", Journal of Finance, 19, pp.424~444 (1964)
55. Stattman, D., "Book Values and Stock Returns", Chicago MBA : A Journal of Selected Papers, 4, pp.25~45 (1980)
56. Suh, S., "A New Method for Forming Asset Pricing Factors from Firm Characteristics", Applied Economics, 46, pp.3463~3482 (2014)
57. Zellner, Z.A., "Prediction and Decision Problems in Regression Models from the Bayesian Point of View", Journal of the American Statistical Association, 60, pp.608~615 (1965)

관련 논문AI추천