By S. P. Kothari
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Extra info for Anomalies and Efficient Portfolio Formation
8 billion in year t + 5. 65 in year t + 5. Finally, although there is substantial reversion toward the mean in year t + 1, the first-year momentum effect is apparent in the (simple) average returns. The losers (Q1 stocks) underperform winners (Q5 stocks) by about 6 percentage points. This advantage is reversed in years t + 2 and beyond, with the original (year t) losers outperforming the winners by 3 percentage points or so each year. On the one hand, the results in Table 6 indicate that if a tilt portfolio were not rebalanced at the end of one year, its average market cap and BV/MV would not differ much from those of a portfolio that was reconstructed every year.
Journal of Finance, vol. 46, no. 5 (December):1575–1617. ———. 1998. ” Journal of Financial Economics, vol. 49, no. 3 (September):283–306. , and K. French. 1992. ” Journal of Finance, vol. 47, no. 2 (June):427–465. ———. 1993. ” Journal of Financial Economics, vol. 33, no. 1 (February):3–56. , L. Fisher, M. Jensen, and R. Roll. 1969. ” International Economic Review, vol. 10, no. 1 (February):1–21. , C. Olsen, and T. Shevlin. 1984. ” Accounting Review, vol. 59, no. 4 (October):574–603. , S. Ross, and J.
Formally, we require the variance of the posterior probability distribution for alpha. Fortunately, a simple and intuitive mathematical result delivers this variance: The posterior precision is simply the sum of the precisions of the prior and the alpha estimate, as given by the denominator of Equation 5. book Page 30 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation with the prior standard deviation of 2 percent. 2 percent is an indication of the extent to which observing the historical data has narrowed our belief about the true value of alpha.
Anomalies and Efficient Portfolio Formation by S. P. Kothari