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A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios

Publiceringsår: 2005
Språk: Engelska
Sidor: 47-835
Publikation/Tidskrift/Serie: Applied Financial Economics
Volym: 15
Nummer: 12
Dokumenttyp: Artikel i tidskrift
Förlag: Taylor & Francis

Sammanfattning

The common approach for constructing factor mimicking portfolios is to go long in assets with high loadings and to short-sell those with low loadings on some background factors. As a result portfolios containing stocks with low loading on the background factor receive negative betas against the corresponding mimicking portfolio. Thus, such portfolios appear as hedges against the background risk and may in tests of asset pricing models receive significant positive intercepts. The final result regarding acceptance or rejection of an asset pricing model may therefore to some extent be understood as a random outcome.

Nyckelord

  • Economics

Övriga

Published
  • ISSN: 0960-3107

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