Is smart beta investing profitable? evidence from the Nordic stock market
Silvasti, Veikkopekka; Grobys, Klaus; Äijö, Janne (2020-12-10)
Silvasti, Veikkopekka
Grobys, Klaus
Äijö, Janne
Routledge, Taylor & Francis Group
10.12.2020
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe20201221101747
https://urn.fi/URN:NBN:fi-fe20201221101747
Kuvaus
vertaisarvioitu
© 2020 Taylor & Francis. Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 11 Dec 2020, available online: http://www.tandfonline.com/10.1080/00036846.2020.1853669
© 2020 Taylor & Francis. Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 11 Dec 2020, available online: http://www.tandfonline.com/10.1080/00036846.2020.1853669
Tiivistelmä
This study examines the profitability of the mixing and integrating approach for constructing multi-factor smart beta portfolios. While most studies explore this issue in a U.S. market setting, this is the first study that exclusively focus on the Nordic equity market, which exhibits some unique and stylized features as recently highlighted in the literature. Our findings indicate first strong evidence for return variations for sorting stocks on value-, momentum-, and ex-ante beta-signals. Surprisingly, variations in payoffs are not only small stock phenomena in the Nordic equity markets. While the current literature does not yet agree on a consensus, our study supports the literature documenting the superiority of the integrating approach. Our results challenge the efficient market hypothesis in a market environment offering a high-level of information-flow-efficiency.
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