Alexander Br?ndle Volume Based Portfolio Strategies 9783834921062

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Автор: Alexander Br?ndle
Название: Volume Based Portfolio Strategies
ISBN: 9783834921062
Издательство: Springer
Классификация:

Финансы

ISBN-10: 3834921068
Обложка/Формат: Paperback
Страницы: 320
Вес: 0.42 кг.
Дата издания: 24.02.2010
Язык: English
Издание: 2010 ed.
Иллюстрации: 136 black & white illustrations, 20 black & white tables, biography
Размер: 210 x 148 x 18
Читательская аудитория: Professional & vocational
Основная тема: Economics
Подзаголовок: Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stock
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 1 Introduction In this introductory chapter, we first introduce the topic of this project and its relevance to research and practice. After the statement of the main objectives, we formulate its research questions and contributions. Following some important definitions, we c- clude this introduction by outlining the structure of this project report. 1. 1 Motivation For a long time, the predominant view in finance was that the variation of returns across stocks could be explained by their sensitivities (i. e., betas) to a single factor, the excess return of the market portfolio. This classical view, reflected in the Capital Asset Pricing Model (CAPM), implies that no portfolio strategy selecting stocks on the basis of other factors is able to consistently outperform a passive buy and hold strategy (reflecting the market capitalization-weighted investment universe). Later research, however, found that other factors also play an important role in the cross-sectional variation of stock returns. Especially observed stock attributes such as past returns, market capitalization, or book-to-market ratio, were found to have a high explanatory power. Subsequent - search even proved the existence of profitable portfolio strategies formed on the basis of such stock attributes, which led to their practical implementation and offering by prof- sional investment firms. These quantitative strategies have since become increasingly popular, especially as a means to diversify investments (which is particularly helpful in case of a low correlation between a strategys return and the development of the m- ket).

Volume Based Portfolio Strategies, Alexander Br?ndle