Characteristics-Based Portfolio Choice with Leverage Constraints

Author:

Ammann Manuel,Coqueret Guillaume,Schade Jan-Philip

Publisher

Elsevier BV

Reference43 articles.

1. Both the annual change in earnings (CUE) and asset growth (AGR) are computed as in Hand and Green (2011): simple growth rate of the change in net income or total assets, respectively. Lastly, we exclude negative data values for MEQ, BTM, DIY, LEV and VAR. We also eliminate the 20% of the firms with the smallest market equity and all values which lie five standard deviations above;(ERV) as the standard deviation of the firm's return-on-assets over the past 20 quarters

2. Hedge fund leverage;A Ang;Journal of Financial Economics,2011

3. Fundamental indexation;R D Arnott;Financial Analysts Journal,2005

4. Quality Minus Junk

5. Debt/equity ratio and expected common stock returns: empirical evidence;L C Bhandari;Journal of Finance,1988

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