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ArticleEqual-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence

Rama K. Malladi2016

Article2016

Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence

Rama K. Malladi · Frank J. Fabozzi

53 citations·0/0 files stored·Journal of Asset Management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk and Portfolio Optimization

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

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Year2016

Typearticle

Published2016-11-28

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations53

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1057/s41260-016-0033-4

openalex_workW2559412151

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1982Multivariate tests of financial models

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