Document Type

Article

Article Version

Post-print

Publication Date

5-2019

Abstract

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 1969–2014. 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.

Comments

Copyright © 2019, Springer Nature. All rights reserved. The post-print version has been archived here with permission from the copyright holder.

Publication Title

Journal of Asset Management

Published Citation

Knif, Johan, James W. Kolari, Gregory Koutmos, and Seppo Pynnönen. "Measuring the relative return contribution of risk factors." Journal of Asset Management 20, no. 4 (2019): 263-272. https://doi.org/10.1057/s41260-019-00121-9

DOI

10.1057/s41260-019-00121-9

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