Strathprints logo
Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

An examination of linear factor models in country equity asset allocation strategies

Fletcher, J. and Hillier, J. (2005) An examination of linear factor models in country equity asset allocation strategies. Quarterly Review of Economics and Finance, 45 (4-5). pp. 808-823. ISSN 1062-9769

Full text not available in this repository. (Request a copy from the Strathclyde author)

Abstract

We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.

Item type: Article
ID code: 5582
Keywords: factor models, asset allocation, Commerce, Finance, Economics and Econometrics
Subjects: Social Sciences > Commerce
Department: Strathclyde Business School > Accounting and Finance
Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 14 Mar 2008
    Last modified: 25 Jun 2014 11:45
    URI: http://strathprints.strath.ac.uk/id/eprint/5582

    Actions (login required)

    View Item