Arbitrage Portfolios
Arbitrage Portfolios
About this item
Full title
Arbitrage Portfolios
Author / Creator
Publisher
Oxford University Press
Journal title
The Review of financial studies, 2021-06, Vol.34 (6), p.2813-2856
Language
English
Formats
Publication information
Publisher
Oxford University Press
More information
Scope and Contents
Contents
We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics’ predictive power before any attribution is made to abnormal returns. We apply the methodol...
Alternative Titles
Full title
Arbitrage Portfolios
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_crossref_primary_10_1093_rfs_hhaa102
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1093_rfs_hhaa102
Other Identifiers
ISSN
0893-9454
E-ISSN
1465-7368
DOI
10.1093/rfs/hhaa102
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