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ERIC Number: EJ1053820
Record Type: Journal
Publication Date: 2014
Pages: 6
Abstractor: As Provided
Reference Count: 7
ISBN: N/A
ISSN: ISSN-1942-2504
Asset Attribution Stability and Portfolio Construction: An Educational Example
Chong, James T.; Jennings, William P.; Phillips, G. Michael
American Journal of Business Education, v7 n2 p115-120 2014
This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated.
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Publication Type: Journal Articles; Reports - Evaluative
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A