Multifactor Asset Pricing Models and Industry Portfolio Investment Strategies
Author | : Jonathan Shank |
Publisher | : |
Total Pages | : 39 |
Release | : 2013 |
ISBN-10 | : OCLC:1308986151 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Multifactor Asset Pricing Models and Industry Portfolio Investment Strategies written by Jonathan Shank and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effectiveness of six risk factors when applied to a selection of twenty industry-specific portfolios in explaining those portfolios' returns. The explanatory power of each risk factor, as well as its statistical significance, is judged with respect to the explanatory power provided by the Fama-French Three Factor Model. The three additional factors are the Momentum, and Short and Long-Term price reversal factors. Results indicate that, of the three additional factors, Momentum has the most explanatory power on average. Nevertheless, several exceptions were identified in which the inclusion of the Momentum factor destroys explanatory power, or in which the Short or Long-Term reversal factor yielded significant explanatory power. Results demonstrate the differences of these factors' behavior among the industries tested.