Literaturnachweis - Detailanzeige
| Autor/inn/en | Chong, James T.; Jennings, William P.; Phillips, G. Michael |
|---|---|
| Titel | Asset Attribution Stability and Portfolio Construction: An Educational Example |
| Quelle | In: American Journal of Business Education, 7 (2014) 2, S.115-120 (6 Seiten)
PDF als Volltext kostenfreie Datei |
| Sprache | englisch |
| Dokumenttyp | gedruckt; online; Zeitschriftenaufsatz |
| ISSN | 1942-2504 |
| Schlagwörter | Corporations; Investment; Regression (Statistics); Models; Portfolios (Background Materials); Cost Indexes; Business Education; Risk Assessment; Financial Services; Teaching Methods |
| Abstract | This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated. (As Provided). |
| Anmerkungen | Clute Institute. 6901 South Pierce Street Suite 239, Littleton, CO 80128. Tel: 303-904-4750; Fax: 303-978-0413; e-mail: Staff@CluteInstitute.com; Web site: http://www.cluteinstitute.com |
| Erfasst von | ERIC (Education Resources Information Center), Washington, DC |
| Update | 2020/1/01 |
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