Measuring the relative return contribution of risk factors Academic Article

abstract

• 2019, Springer Nature Limited. This paper proposes a simple method to measure and compare the average relative return contribution of proposed risk factors. The method is applied to six common risk factors, including market, size, value, momentum, profitability, and investment, using 49 U.S. industry portfolios in the period 19692014. We find that the average relative return contributions of the market factor and mispricing alpha are highest in all models and sample periods. When multifactors are included, their main effect is to reduce the contribution of the average market factor return with some reduction in the contribution of mispricing alpha.

authors

• Kolari, James

published proceedings

• JOURNAL OF ASSET MANAGEMENT

author list (cited authors)

• Knif, J., Kolari, J. W., Koutmos, G., & Pynnonen, S.

citation count

• 1

complete list of authors

• Knif, Johan||Kolari, James W||Koutmos, Gregory||Pynnonen, Seppo

publication date

• July 2019

publisher

• Springer Nature  Publisher

published in

• The Journal of Asset Management  Journal

keywords

• Average Relative Absolute Return Contribution (ararc)
• Capm
• Risk Factor Models

Digital Object Identifier (DOI)

• 10.1057/s41260-019-00121-9

start page

• 263

end page

• 272

volume

• 20

issue

• 4

URL

• http://dx.doi.org/10.1057/s41260-019-00121-9