Strategic Planning

Anomalies and Efficient Portfolio Formation by S. P. Kothari

By S. P. Kothari

Show description

Read Online or Download Anomalies and Efficient Portfolio Formation PDF

Similar strategic planning books

The market planning guide: creating a plan to successfully market your business, product, or service

Get hands-on confirmed advertising fundamentals with this ''bible'' of industrial advertising and marketing. advertising and marketing is the lifeblood for succeeding in enterprise. What enterprise can live on with out consumers? each enterprise, even if huge or small, has to appreciate who its consumers are and the way to promote to these buyers cost-effectively, be it service or product.

Automotive Plastics & Composites - Worldwide Markets & Trends to 2007

Following the good fortune of the 1st (1995) variation, this absolutely up-to-date record will supply an international review of using automobile plastics and composites in passenger automobiles, with an research of markets and developments to the yr 2007. targeted cognizance is given to car weight loss. For a PDF model of the record please name Tina Enright on +44 (0) 1865 843008 for cost information.

Hide a Dagger Behind a Smile: Use the 36 Ancient Chinese Strategies to Seize the Competitive Edge

Enterprise is struggle. Western company has been inculcated within the trust that enterprise is set win/win recommendations. even though, in cutting-edge international market there's not equity - there are winners and losers. state-of-the-art aggressive terrain demands new strategies in addition to an figuring out of the way your rivals process the area.

Handbook of research on global competitive advantage through innovation and entrepreneurship

As companies search to compete on a world degree, they need to be continuously conscious of pressures from all degrees: neighborhood, neighborhood, and around the globe. The businesses that may most sensible construct benefits in assorted environments in attaining the best good fortune. The guide of study on international aggressive virtue via Innovation and Entrepreneurship explores the emergence of recent principles and possibilities in quite a few markets and gives organizational leaders with the instruments they should take complete benefit of these possibilities.

Extra resources for Anomalies and Efficient Portfolio Formation

Example text

1992. ” Financial Analysts Journal, vol. 48, no. 5 (September/October):28–43. , A. Kane, and A. Marcus. 2002. Investments. New York: Irwin McGraw-Hill. , and J. Heaton. 2002. ” Review of Financial Studies, vol. 15, no. 2 (Special):575–606. Chan, K. 1988. ” Journal of Business, vol. 61, no. 2 (April):147–163. , J. Lakonishok, and J. Ritter. 1992. ” Journal of Financial Economics, vol. 31, no. 2 (April):235–268. , D. Hirshleifer, and A. Subrahmanyam. 1998. ” Journal of Finance, vol. 53, no. 6 (December):1839–85.

M2 M2 (%) 12 10 8 6 4 2 0 0 20 40 Tilt (%) C. 9, even though shorting the low-BV/MV (negative-alpha) stocks increases the alpha a bit. 4 percent for Q5. The residual risk of the spread would be dampened if the residual returns for value and growth were positively correlated (they would be partially hedged in the spread), but in fact, the correlation is negative. As a result, one would be much better off investing in a value strategy that emphasizes high-BV/MV stocks than trying to exploit the spread.

Summary. Our results on the benefits of tilting an investment portfolio toward stocks of extreme size, value versus growth, or momentum quintiles based on the 36 years of return data studied lead to several conclusions. First, given our price and market-cap filters, portfolio efficiency is not improved much by tilting portfolios toward extreme size quintiles. Combining the market portfolio with value (high-BV/MV) stocks or past winners (momentum stocks) results in significant increases in the Sharpe ratio and M 2.

Download PDF sample

Rated 4.54 of 5 – based on 11 votes