IDEAS home Printed from https://ideas.repec.org/a/taf/rseexx/v25y2001i2p87-102.html
   My bibliography  Save this article

Verifying Return-Based Style Analysis Using Composition-Based Factor Returns

Author

Listed:
  • M Robertson
  • C Firer
  • D Bradfield

Abstract

There are strong arguments for both the composition-based and returns-based approach to style analysis. Several studies have used these techniques for the purpose of identifying unit trusts that are misclassified in terms of their category. By expanding on a well-established technique, this study investigates whether substituting composition-based style factor returns in a returns-based style analysis framework is able to support the findings of the returns-based style analysis. While both techniques of style analysis are capable of identifying misclassified funds they only give partially consistent results. The technique prevents a fund from being reclassified in terms of a returns-based style analysis if such a reclassification is not supported by a composition-based style analysis.

Suggested Citation

  • M Robertson & C Firer & D Bradfield, 2001. "Verifying Return-Based Style Analysis Using Composition-Based Factor Returns," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 25(2), pages 87-102, August.
    • Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:87-102
    DOI: 10.1080/10800379.2001.12106314
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10800379.2001.12106314
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10800379.2001.12106314?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:87-102. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rsee .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.