Matches in SemOpenAlex for { <https://semopenalex.org/work/W3149578207> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3149578207 abstract "In this paper we use the standard factor models to compose common-factor portfolios by a novel linear transformation extracted from large data sets of asset returns. Although the transformation proposed here retains the basic properties of the usual common factors, some interesting new properties are further included in them. The advantages of using common-factor portfolios in asset pricing are: (i) they produce a dimension reduction in the asset- pricing data-base while preserving the usual restrictions imposed by the asset-pricing equation, and (ii) from the empirical perspective, their performance is better than those of standard factor models. The practical importance is confirmed in two applications: the performance of common-factor portfolios is shown to be superior to those of the asset returns and factors commonly used in the finance literature." @default.
- W3149578207 created "2021-04-13" @default.
- W3149578207 creator A5016701780 @default.
- W3149578207 creator A5062858756 @default.
- W3149578207 date "2015-01-01" @default.
- W3149578207 modified "2023-09-26" @default.
- W3149578207 title "Evaluating the effectiveness of Common-Factor Portfolios" @default.
- W3149578207 hasPublicationYear "2015" @default.
- W3149578207 type Work @default.
- W3149578207 sameAs 3149578207 @default.
- W3149578207 citedByCount "0" @default.
- W3149578207 crossrefType "posted-content" @default.
- W3149578207 hasAuthorship W3149578207A5016701780 @default.
- W3149578207 hasAuthorship W3149578207A5062858756 @default.
- W3149578207 hasConcept C104317684 @default.
- W3149578207 hasConcept C10879293 @default.
- W3149578207 hasConcept C12713177 @default.
- W3149578207 hasConcept C142450864 @default.
- W3149578207 hasConcept C149782125 @default.
- W3149578207 hasConcept C154945302 @default.
- W3149578207 hasConcept C162324750 @default.
- W3149578207 hasConcept C181236170 @default.
- W3149578207 hasConcept C185592680 @default.
- W3149578207 hasConcept C199360897 @default.
- W3149578207 hasConcept C202444582 @default.
- W3149578207 hasConcept C204241405 @default.
- W3149578207 hasConcept C2781039887 @default.
- W3149578207 hasConcept C33676613 @default.
- W3149578207 hasConcept C33923547 @default.
- W3149578207 hasConcept C38652104 @default.
- W3149578207 hasConcept C41008148 @default.
- W3149578207 hasConcept C55493867 @default.
- W3149578207 hasConcept C76178495 @default.
- W3149578207 hasConceptScore W3149578207C104317684 @default.
- W3149578207 hasConceptScore W3149578207C10879293 @default.
- W3149578207 hasConceptScore W3149578207C12713177 @default.
- W3149578207 hasConceptScore W3149578207C142450864 @default.
- W3149578207 hasConceptScore W3149578207C149782125 @default.
- W3149578207 hasConceptScore W3149578207C154945302 @default.
- W3149578207 hasConceptScore W3149578207C162324750 @default.
- W3149578207 hasConceptScore W3149578207C181236170 @default.
- W3149578207 hasConceptScore W3149578207C185592680 @default.
- W3149578207 hasConceptScore W3149578207C199360897 @default.
- W3149578207 hasConceptScore W3149578207C202444582 @default.
- W3149578207 hasConceptScore W3149578207C204241405 @default.
- W3149578207 hasConceptScore W3149578207C2781039887 @default.
- W3149578207 hasConceptScore W3149578207C33676613 @default.
- W3149578207 hasConceptScore W3149578207C33923547 @default.
- W3149578207 hasConceptScore W3149578207C38652104 @default.
- W3149578207 hasConceptScore W3149578207C41008148 @default.
- W3149578207 hasConceptScore W3149578207C55493867 @default.
- W3149578207 hasConceptScore W3149578207C76178495 @default.
- W3149578207 hasLocation W31495782071 @default.
- W3149578207 hasOpenAccess W3149578207 @default.
- W3149578207 hasPrimaryLocation W31495782071 @default.
- W3149578207 hasRelatedWork W1500255290 @default.
- W3149578207 hasRelatedWork W1521684315 @default.
- W3149578207 hasRelatedWork W2096369746 @default.
- W3149578207 hasRelatedWork W2139336873 @default.
- W3149578207 hasRelatedWork W2198186138 @default.
- W3149578207 hasRelatedWork W2268440525 @default.
- W3149578207 hasRelatedWork W2341716929 @default.
- W3149578207 hasRelatedWork W2461390366 @default.
- W3149578207 hasRelatedWork W2560786149 @default.
- W3149578207 hasRelatedWork W2727805620 @default.
- W3149578207 hasRelatedWork W2790434066 @default.
- W3149578207 hasRelatedWork W2898444484 @default.
- W3149578207 hasRelatedWork W2909135523 @default.
- W3149578207 hasRelatedWork W3121239952 @default.
- W3149578207 hasRelatedWork W3124727369 @default.
- W3149578207 hasRelatedWork W3124913238 @default.
- W3149578207 hasRelatedWork W3157110987 @default.
- W3149578207 hasRelatedWork W3188748745 @default.
- W3149578207 hasRelatedWork W46382070 @default.
- W3149578207 hasRelatedWork W2184603961 @default.
- W3149578207 isParatext "false" @default.
- W3149578207 isRetracted "false" @default.
- W3149578207 magId "3149578207" @default.
- W3149578207 workType "article" @default.