Brown Bag Seminar - Raman Uppal
Die Veranstaltung findet in D3.0.218, von 13:45 bis 15:00 statt.
Er wird sein Paper "A Portfolio Perspective on the Multitude of Firm Characteristics” (gemeinsam mit Victor DeMiguel, Alberto Martín-Utrera, Francisco J.Nogales), vorstellen.
Abstract: We investigate which characteristics matter jointly for an investor who cares not only about average returns but also about portfolio risk, transaction costs, and outof- sample performance. We nd only a small number of characteristics|six|are signicant without transaction costs. With transaction costs, the number of signi cant characteristics increases to 15 because the trades in the underlying stocks required to rebalance dierent characteristics often net out. We show investors can identify combinations of characteristics with abnormal out-of-sample returns net of transaction costs that are not fully explained by the Fama and French (2015) and Hou, Xue, and Zhang (2014) factors.
zurück zur Übersicht