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Positive Portfolio Factors / Stephen J. Brown, William N. Goetzmann, Mark Grinblatt.
- Format:
- Book
- Author/Creator:
- Brown, Stephen J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w6412.
- NBER working paper series no. w6412
- Language:
- English
- Subjects (All):
- Saving and investment.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1998.
- Cambridge, Mass. : National Bureau of Economic Research, 1998.
- Summary:
- We use an iterative relocation algorithm to identify factors in common stock returns. The benefit of the approach is that factors are portfolios of assets with non-negative weights. As a result, they are readily interpreted in terms of their characteristics of the underlying securities. The positive portfolio factors have comparatively high explanatory power in sample and out-of-sample. We find evidence of a size factor and factors identified with certain industries. Factors extracted from the mutual fund universe perform marginally better than factors from the universe of equities.
- Notes:
- Print version record
- February 1998.
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