NotesFAQContact Us
Search Tips
Peer reviewed Peer reviewed
PDF on ERIC Download full text
ERIC Number: EJ1053820
Record Type: Journal
Publication Date: 2014
Pages: 6
Abstractor: As Provided
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.
Clute Institute. 6901 South Pierce Street Suite 239, Littleton, CO 80128. Tel: 303-904-4750; Fax: 303-978-0413; e-mail:; Web site:
Publication Type: Journal Articles; Reports - Evaluative
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A
Grant or Contract Numbers: N/A