Artikel
Multifactor market indexes
This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to the CRSP index; and (2) the resultant multifactor market indexes are significantly priced in cross-sectional tests of associated beta loadings with t-values exceeding 3.0 in most cases.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 4 ; Pages: 1-26 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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market index
market factor
multifactors
efficient portfolios
- Event
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Geistige Schöpfung
- (who)
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Liu, Wei
Kolari, James W.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2022
- DOI
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doi:10.3390/jrfm15040155
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Liu, Wei
- Kolari, James W.
- MDPI
Time of origin
- 2022
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