Asset Attribution Stability And Portfolio Construction: An Educational Example

• Published in: American journal of business education Vol. 7; no. 2; pp. 115 - 120
• Main Authors: Chong, James T., Jennings, William P., Phillips, G. Michael
• Format: Journal Article
• Language: English
• Published: Littleton The Clute Institute 28.03.2014; Clute Institute
• Subjects: Arbitrage; Business Education; Capital assets; CAPM; Construction; Corporations; Cost Indexes; Dow Jones averages; Economic Factors; Financial analysis; Financial Services; Investment; Least Squares Statistics; Licenses; Periodicals; Portfolio management; Portfolio performance; Portfolios (Background Materials); Regression (Statistics); Risk Assessment; Standard deviation; State Schools; State Universities; Statistics; Stock exchanges; Studies; Teaching Methods; Variables

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. Portfol...