Matches in SemOpenAlex for { <https://semopenalex.org/work/W3099683454> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W3099683454 abstract "Abstract In a recent discussion about efficient ways to combine multiple firm characteristics into a multifactor portfolio, a distinction was made between the bottom-up and top-down approach. Both approaches integrate characteristics with equal weights and ignore interaction effects from differences in informational content and correlations between the firm characteristics. The authors complement the bottom-up approach for the missing interaction effects by implementing a linear alpha forecasting framework. Bottom-up versus top-down factor investing is typically discussed using the assumption that all characteristics are equally priced, but the pricing impact of different firm characteristics can vary tremendously. The alpha forecasting perspective provides a theoretical motivation for factor investing and helps to compare the bottom-up and top-down approach with regard to the difference of informational content and interaction effects between firm characteristics. Taking into account the difference in informational content between firm characteristics leads to significant performance improvement in factor models with a high concentration of informational content. Equally weighted characteristics result in related performance irrespective of whether the bottom-up or top-down approach is applied." @default.
- W3099683454 created "2020-11-23" @default.
- W3099683454 creator A5024876509 @default.
- W3099683454 creator A5042869250 @default.
- W3099683454 date "2020-11-18" @default.
- W3099683454 modified "2023-10-17" @default.
- W3099683454 title "Bottom-up versus top-down factor investing: an alpha forecasting perspective" @default.
- W3099683454 cites W1863029622 @default.
- W3099683454 cites W2005556724 @default.
- W3099683454 cites W2075415495 @default.
- W3099683454 cites W2171524776 @default.
- W3099683454 cites W2182051792 @default.
- W3099683454 cites W2265274622 @default.
- W3099683454 cites W2482150416 @default.
- W3099683454 cites W2529955058 @default.
- W3099683454 cites W2584634300 @default.
- W3099683454 cites W2594292494 @default.
- W3099683454 cites W2768442750 @default.
- W3099683454 cites W2793530484 @default.
- W3099683454 cites W2806331477 @default.
- W3099683454 cites W2884337507 @default.
- W3099683454 cites W2930895147 @default.
- W3099683454 cites W2963668706 @default.
- W3099683454 cites W3121274430 @default.
- W3099683454 cites W3121561729 @default.
- W3099683454 cites W3121764760 @default.
- W3099683454 cites W3121965529 @default.
- W3099683454 cites W3123792221 @default.
- W3099683454 cites W3126042030 @default.
- W3099683454 cites W4211170237 @default.
- W3099683454 cites W4255586506 @default.
- W3099683454 doi "https://doi.org/10.1057/s41260-020-00188-9" @default.
- W3099683454 hasPublicationYear "2020" @default.
- W3099683454 type Work @default.
- W3099683454 sameAs 3099683454 @default.
- W3099683454 citedByCount "1" @default.
- W3099683454 countsByYear W30996834542021 @default.
- W3099683454 crossrefType "journal-article" @default.
- W3099683454 hasAuthorship W3099683454A5024876509 @default.
- W3099683454 hasAuthorship W3099683454A5042869250 @default.
- W3099683454 hasBestOaLocation W30996834541 @default.
- W3099683454 hasConcept C104317684 @default.
- W3099683454 hasConcept C106159729 @default.
- W3099683454 hasConcept C112313634 @default.
- W3099683454 hasConcept C115903868 @default.
- W3099683454 hasConcept C12713177 @default.
- W3099683454 hasConcept C127716648 @default.
- W3099683454 hasConcept C135798126 @default.
- W3099683454 hasConcept C149782125 @default.
- W3099683454 hasConcept C154945302 @default.
- W3099683454 hasConcept C162324750 @default.
- W3099683454 hasConcept C185592680 @default.
- W3099683454 hasConcept C188082640 @default.
- W3099683454 hasConcept C2780821815 @default.
- W3099683454 hasConcept C41008148 @default.
- W3099683454 hasConcept C55493867 @default.
- W3099683454 hasConceptScore W3099683454C104317684 @default.
- W3099683454 hasConceptScore W3099683454C106159729 @default.
- W3099683454 hasConceptScore W3099683454C112313634 @default.
- W3099683454 hasConceptScore W3099683454C115903868 @default.
- W3099683454 hasConceptScore W3099683454C12713177 @default.
- W3099683454 hasConceptScore W3099683454C127716648 @default.
- W3099683454 hasConceptScore W3099683454C135798126 @default.
- W3099683454 hasConceptScore W3099683454C149782125 @default.
- W3099683454 hasConceptScore W3099683454C154945302 @default.
- W3099683454 hasConceptScore W3099683454C162324750 @default.
- W3099683454 hasConceptScore W3099683454C185592680 @default.
- W3099683454 hasConceptScore W3099683454C188082640 @default.
- W3099683454 hasConceptScore W3099683454C2780821815 @default.
- W3099683454 hasConceptScore W3099683454C41008148 @default.
- W3099683454 hasConceptScore W3099683454C55493867 @default.
- W3099683454 hasLocation W30996834541 @default.
- W3099683454 hasOpenAccess W3099683454 @default.
- W3099683454 hasPrimaryLocation W30996834541 @default.
- W3099683454 hasRelatedWork W11029432 @default.
- W3099683454 hasRelatedWork W12381429 @default.
- W3099683454 hasRelatedWork W12997549 @default.
- W3099683454 hasRelatedWork W2947171 @default.
- W3099683454 hasRelatedWork W3229539 @default.
- W3099683454 hasRelatedWork W3303101 @default.
- W3099683454 hasRelatedWork W4479632 @default.
- W3099683454 hasRelatedWork W6817533 @default.
- W3099683454 hasRelatedWork W8067170 @default.
- W3099683454 hasRelatedWork W920257 @default.
- W3099683454 isParatext "false" @default.
- W3099683454 isRetracted "false" @default.
- W3099683454 magId "3099683454" @default.
- W3099683454 workType "article" @default.