Market-to-book ratio in stochastic portfolio theory

We study market-to-book ratios of stocks in the context of stochastic portfolio theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalisations (“sizes”) are developed in two ways, together with their relative returns with respect to the mark...

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Detalles Bibliográficos
Autor principal: Kim, Donghan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10040936/
http://dx.doi.org/10.1007/s00780-023-00501-5
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author Kim, Donghan
author_facet Kim, Donghan
author_sort Kim, Donghan
collection PubMed
description We study market-to-book ratios of stocks in the context of stochastic portfolio theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalisations (“sizes”) are developed in two ways, together with their relative returns with respect to the market. This enables us to identify the value factor (i.e., market-to-book ratio) in returns of such generated portfolios when the auxiliary variables are stocks’ book values. Examples of portfolios, as well as their empirical results, are given, with the evidence that in addition to size, the value factor does affect the performance of the portfolio.
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spelling pubmed-100409362023-03-27 Market-to-book ratio in stochastic portfolio theory Kim, Donghan Finance Stoch Article We study market-to-book ratios of stocks in the context of stochastic portfolio theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalisations (“sizes”) are developed in two ways, together with their relative returns with respect to the market. This enables us to identify the value factor (i.e., market-to-book ratio) in returns of such generated portfolios when the auxiliary variables are stocks’ book values. Examples of portfolios, as well as their empirical results, are given, with the evidence that in addition to size, the value factor does affect the performance of the portfolio. Springer Berlin Heidelberg 2023-03-27 2023 /pmc/articles/PMC10040936/ http://dx.doi.org/10.1007/s00780-023-00501-5 Text en © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023, Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Kim, Donghan
Market-to-book ratio in stochastic portfolio theory
title Market-to-book ratio in stochastic portfolio theory
title_full Market-to-book ratio in stochastic portfolio theory
title_fullStr Market-to-book ratio in stochastic portfolio theory
title_full_unstemmed Market-to-book ratio in stochastic portfolio theory
title_short Market-to-book ratio in stochastic portfolio theory
title_sort market-to-book ratio in stochastic portfolio theory
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10040936/
http://dx.doi.org/10.1007/s00780-023-00501-5
work_keys_str_mv AT kimdonghan markettobookratioinstochasticportfoliotheory

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