重叠的投资组合持股和独特的新兴市场风险来源

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-01-01 DOI:10.1016/j.bir.2023.12.003

Aleksandr Tomtosov

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引用次数: 0

摘要

新兴市场的动量、规模和低波动性在负收益时期经常表现出各因素和市场之间的相关性增加。我提供了一个框架，用于在投资组合形成阶段从一组因子中区分出独特的风险来源。该框架的基础是摒弃在因子相关性时期超过投资组合一半的重复头寸。独特因子可以消除相关性上升和因子崩溃。对于最近的金融冲击，结果是稳健的。对于从业人员来说，这种方法有助于区分原始投资策略，并为新兴市场的主动管理提供机会。

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Overlapping portfolio holdings and unique sources of emerging market risk

Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is based on discarding duplicate positions that exceed half the portfolios in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust for the most recent financial shocks. For practitioners, the approach helps in distinguishing original investment strategies and provides opportunities for active management in emerging markets.

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations