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عنوان فارسی مقاله:
نسخه های بتا و اسطوره بی طرفی بازار
عنوان انگلیسی مقاله:
Betas and the myth of market neutrality
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Methodology
The methodology involves three steps. First, we construct a dollar neutral long/short portfolio, using the price momentum of stocks listed in the S&P 100 index. We restrict ourselves to this set of stocks in order to ensure that we have reliable daily returns for beta measurement. It is common for momentum strategies to utilize stocks from a much larger set; however, given that we are evaluating beta performances, not the return performances of momentum strategies, the S&P 100 stocks are more useful for generating accurate results. In addition, as a robustness check, we also construct portfolios by selecting S&P 100 stocks at random, rather than based on the momentum. Next, we estimate the beta of the overall portfolio using four different approaches, in order to calculate the market exposure (residual beta) of the portfolio. This residual beta will be hedged using futures contracts on the S&P 500 index in order to make the portfolios beta neutral. Finally, we will calculate the ex post betas of our ‘‘market neutral’’ portfolios in order to ascertain which measure of beta allowed us to generate the most ex post beta-neutral portfolio.
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کلمات کلیدی:
Betas and the myth of market neutrality - IDEAS/RePEc https://ideas.repec.org/a/eee/intfor/v32y2016i2p548-558.html by N Papageorgiou - 2016 - Cited by 4 - Related articles Downloadable (with restrictions)! Market neutral funds are commonly advertised as alternative investments that offer returns which are uncorrelated with the ... Academic paper: Betas and the Myth of Market Neutrality https://www.researchgate.net/.../228225224_Betas_and_the_Myth_of_Market_Neutralit... Market neutral funds are commonly advertised as alternative investments offering returns which are uncorrelated with the broad market. Utilizing recent ... Betas and the myth of market neutrality. - Version details - Trove trove.nla.gov.au/work/216772018? 2016-04-01, English, Article, Journal or magazine article edition: Betas and the myth of market neutrality. Papageorgiou, Nicolas; Reeves, Jonathan J.; Xie, Xuan. [PDF]Commodity Absolute Return and the myth of Market Neutrality www.tiberiusgroup.net/.../2016-04%20Corporate%20Finance%20-%20Dennin%20-%... Apr 4, 2016 - Commodity Absolute Return and the Myth of Market Neutrality: An Investment Concept under Review 120. Alexander Bassen/Kristin ... [PDF]20 Myths about Long-Short - Jacobs Levy Equity Management www.jlem.com/articles/jlem/twentymyths-faj_so96.pdf by BI Jacobs - 1996 - Cited by 19 - Related articles Myth 2. A long-short portfolio consists of two portfolios--one long and one short. Although a long- ... to establish return neutrality to underlying market movements. The Myth of Neutral Taxation | Mises Institute https://mises.org/library/myth-neutral-taxation Jul 20, 2005 - Economists have long believed that government's tax and expenditure policy either is, or can readily be made to be, neutral to the market. Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies https://books.google.com/books?isbn=0470484942 Martin L. Leibowitz, Simon Emrich, Anthony Bova - 2009 - Business & Economics Myth 5. An enhanced active 200/100 strategy is the same as an equitized market-neutral long/short strategy with 100 percent of capital in short positions, 100 ...
