Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes-Reference-Cited by-同舟云学术

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Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes

Published:2007-05 Issue:1 Volume:8 Page:9-23
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Arshanapalli Bala G,Switzer Lorne N,Panju Karim

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

http://link.springer.com/content/pdf/10.1057/palgrave.jam.2250056.pdf

Reference30 articles.

1. Ahmed, P., Lockwood, L. and Nanda, S. (2002) ‘Multistyle Rotation Strategies’, Journal of Portfolio Management, 28, 17–29.

2. Amenc, N., El Bied, S. and Martellini, L . (2003) ‘Evidence of Predictability in Hedge Fund Returns and Multi-Style Multi-Class Style Allocation Decisions’, Financial Analysts Journal, 59, 32–46.

3. Arshanapalli, B., Coggin, T. D. and Doukas, J . (1998) ‘Multifactor Asset Pricing Analysis of International Value Investment Strategies’, Journal of Portfolio Management, 24, 10–23.

4. Arshanapalli, B., Switzer, L. N. and Hung, L. T. S . (2004) ‘Dynamic Asset Allocation for International Investment: Comparing Active versus Passive Strategies for EAFE and S&P 500’, Journal of Portfolio Management, 30, 51–60.

5. Avramov, D. (2002) ‘Stock Return Predictability and Model Uncertainty’, Journal of Financial Economics, 64, 423–458.

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