INVESTMENT STYLES - The Inconsistency of Return-Based Style Analysis - The authors demonstrate that the usual application of the return-based style analysis relies on commercially available indexes that exhibit extreme multicollinearity. The subsequent results are volatile and have little meaning. As a result, the authors argue that implementing return-based style analysis with commercially ...
Year of publication: |
2000
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Authors: | Buetow Jr, Gerald W. ; Johnson, Robert P. ; Runkle, David E. |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 26.2000, 3, p. 61-77
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