Naslov (eng)

Can a dynamic correlation factor improve the pricing of industry portfolios?

Autor

Božović, Miloš

Opis (eng)

Abstract: We investigate whether a common trait shared by the major price patterns can be used to characterize the average returns of industry portfolios. We use a factor exploiting the premium induced by stocks with low and unstable correlations with the market and include it in the standard asset pricing models. The factor reduces the magnitude of alphas in these models and universally improves the description of the industry returns as measured by the GRS statistics. The finding is robust across different industry divisions and portfolio weightings.

Opis (eng)

Funding text: The author acknowledges the financial support of the Ministry of Education, Science and Technological Development of the Republic of Serbia . The usual disclaimer applies.

Jezik

engleski

Datum

2023

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Keywords: Asset pricing; Dynamic correlations; Excess returns; Factor models; Industry portfolios

Deo kolekcije (1)

o:28218

Ekonomski fakultet