Cross-Sectional Analysis through Rank-based Dynamic Portfolios
AbstractThe aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the predictive ability of each cross-sectional factor is described by a variable. Practically, this modeling permits us to measure the marginal and joint effects of different cross-section factors on a given dynamic portfolio. Associated to a regime switching model, we are able to identify phases during which the cross-sectional effects are present in the market.
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Date of creation: May 2012
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Finance; continuous time random walk; cross-section analysis; rank-based models; momentum.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
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