Cross-Sectional Analysis through Rank-based Dynamic Portfolios
The 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.
|Date of creation:||May 2012|
|Date of revision:|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00707430|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00645814, HAL.
- Shiling Ruan & Steven MacEachern & Thomas Otter & Angela Dean, 2008. "The Dependent Poisson Race Model and Modeling Dependence in Conjoint Choice Experiments," Psychometrika, Springer, vol. 73(2), pages 261-288, June.
- Monica Billio & Ludovic Calès & Dominique Guégan, 2009.
"Portfolio Symmetry and Momentum,"
2009_05, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Documents de travail du Centre d'Economie de la Sorbonne 09003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00363383, HAL.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- K. Rouwenhorst, 1996.
"International Momentum Strategies,"
Yale School of Management Working Papers
ysm36, Yale School of Management, revised 01 Feb 2008.
When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00707430. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.