Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns.

Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns.

Portfolio sorts are used extensively in finance to explore the relation between firm characteristics and expected returns. Existing empirical tests have largely been limited, however, to comparing expected returns of the top and bottom ranked portfolios. We propose a new and general approach to test...

书目详细资料
Main Authors:	Patton, A, Timmermann, A
格式:	Working paper
语言:	English
出版:	Oxford-Man Institute of Quantitative Finance 2008

相似书籍

Modeling and estimation of synchronization in size-sorted portfolio returns
由: Cem Çakmaklı, et al.
出版: (2022-12-01)

Information shocks and the cross section of expected returns
由: Tanseli Savaser, et al.
出版: (2023-03-01)

The cross section of expected stock returns revisited
由: Sursock, Jean-Paul, 1974-
出版: (2005)

An Analysis of Cross-sectional Investment Portfolio with the Consideration of Risk and Return
由: Luo Jingzheng, et al.
出版: (2021-01-01)

CROSS SECTIONAL MOMENTS AND PORTFOLIO RETURNS: EVIDENCE FOR SELECT EMERGING MARKETS
由: Sanjay Sehgal, et al.
出版: (2016-09-01)

Return range and the cross-section of expected index returns in international stock markets
由: Mehmet Umutlu, et al.
出版: (2021-05-01)

THE EFFECT OF SYSTEMATIC RISK AND UNSYSTEMATIC RISK ON EXPECTED RETURN OF OPTIMAL PORTFOLIO
由: Denisa Rizky Sukrianingrum, et al.
出版: (2020-12-01)

The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
由: Marcial Messmer, et al.
出版: (2022-11-01)

The Impact of Company Characteristics on Return Volatility in Sorted Portfolios: A Hybrid Asymmetric Conditional Variance Approach
由: Seyed Kazem Ebrahimi, et al.
出版: (2024-10-01)

A Strategy-Proof Test of Portfolio Returns.
由: Young, H, et al.
出版: (2012)

A Strategy-Proof Test of Portfolio Returns.
由: Young, H, et al.
出版: (2011)

A strategy-proof test of portfolio returns
由: Young, H, et al.
出版: (2011)

Are Korean Industry-Sorted Portfolios Mean Reverting?
由: Seongman Moon
出版: (2016-06-01)

VaR and the cross-section of expected stock returns: an emerging market evidence
由: Dar-Hsin Chen, et al.
出版: (2014-07-01)

Testing Forecast Optimality under Unknown Loss.
由: Patton, A, et al.
出版: (2007)

Retained Earnings, and Book-to-market in the Cross Section of Expected Returns in Tehran Stock Exchange Market
由: Gholam Reza Keshavarz Haddad, et al.
出版: (2023-06-01)

Elusive return predictability.
由: Timmermann, A
出版: (2008)

Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model
由: Gilberto de Oliveira Kloeckner, et al.
出版: (2004-12-01)

Diagnostic expectations and stock returns
由: Bordalo, P, et al.
出版: (2019)

Trading Option Portfolios Using Expected Profit and Expected Loss Metrics
由: Johannes Hendrik Venter, et al.
出版: (2024-08-01)

Size-sorted portfolios and information spillovers: structural evidence from Australia
由: George Milunovich
出版: (2010-02-01)

How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?
由: Ahmed Al Samman, et al.
出版: (2017-07-01)

How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?
由: Ahmed Al Samman, et al.
出版: (2017-07-01)

How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?
由: Ahmed Al Samman, et al.
出版: (2017-07-01)

How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?
由: Ahmed Al Samman, et al.
出版: (2017-12-01)

Returns on alternative investment media and implications for portfolio construction /
由: Robichek, Alexander A, et al.

The role of cross-sectional dispersion in active portfolio management
由: Larry R. Gorman, et al.
出版: (2010-10-01)

The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return
由: Adler Haymans Manurung, et al.
出版: (2024-01-01)

Mutual Fund Flows and Benchmark Portfolio Returns
由: Joakim Kvamvold
出版: (2017-04-01)

Mutual Fund Flows and Benchmark Portfolio Returns
由: Joakim Kvamvold
出版: (2017-04-01)

Mutual Fund Flows and Benchmark Portfolio Returns
由: Joakim Kvamvold
出版: (2017-04-01)

Mutual Fund Flows and Benchmark Portfolio Returns
由: Joakim Kvamvold
出版: (2017-06-01)

The Effect of Stock Migration on the Spend of portfolios’ Return
由: Davar Mohammadi, et al.
出版: (2017-02-01)

Landscape diversity and the resilience of agricultural returns: a portfolio analysis of land-use patterns and economic returns from lowland agriculture
由: Abson David J, et al.
出版: (2013-01-01)

The Optimal Portfolio Selection Model under g-Expectation
由: Li Li
出版: (2014-01-01)

Multiproduct Economic Lot Scheduling Problem with Returns and Sorting Line
由: Ivan Ferretti
出版: (2020-05-01)

Smart betas, return models and the tangency portfolio weights.
由: Jan Lennartsson, et al.
出版: (2024-01-01)

Portfolio optimization with structured products under return constraint
由: Baweja Meena, et al.
出版: (2015-01-01)

Portfolio optimization using non-Gaussian return distributions
由: Sylla, Abdoul Karim
出版: (2005)

Models of expected returns on the brazilian market: Empirical tests using predictive methodology
由: Adriano Mussa, et al.
出版: (2009-01-01)