Measuring the relative return contribution of risk factors

Johan Knif*, James W. Kolari, Gregory Koutmos, Seppo Pynnönen

*Motsvarande författare för detta arbete

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

This paper proposes a simple method to measure and compare the average relative return contribution of proposed risk factors. The method is applied to six common risk factors, including market, size, value, momentum, profitability, and investment, using 49 U.S. industry portfolios in the period 1969–2014. We find that the average relative return contributions of the market factor and mispricing alpha are highest in all models and sample periods. When multifactors are included, their main effect is to reduce the contribution of the average market factor return with some reduction in the contribution of mispricing alpha.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of Asset Management
Volym20
Sidor (från-till)263-272
ISSN1470-8272
DOI
StatusPublicerad - 08.05.2019
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 512 Företagsekonomi

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