2017
DOI: 10.3905/jai.2017.20.1.010
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Measuring Factor Exposures: Uses and Abuses

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Cited by 11 publications
(5 citation statements)
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“…The model output is a test of statistical significance. However, “a p -value does not provide a good measure of evidence regarding a model or hypothesis” (Harvey, 2017); hence, to elicit the economic significance of explanatory variables, the portfolio return decomposition (PRD; Israel and Ross, 2017) and the mean value decomposition (MVD; Holgersson et al. , 2014) techniques are adopted, [20] which respectively provide the factors' marginal and relative contribution to the portfolio's excess return (RjRf).…”
Section: Resultsmentioning
confidence: 99%
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“…The model output is a test of statistical significance. However, “a p -value does not provide a good measure of evidence regarding a model or hypothesis” (Harvey, 2017); hence, to elicit the economic significance of explanatory variables, the portfolio return decomposition (PRD; Israel and Ross, 2017) and the mean value decomposition (MVD; Holgersson et al. , 2014) techniques are adopted, [20] which respectively provide the factors' marginal and relative contribution to the portfolio's excess return (RjRf).…”
Section: Resultsmentioning
confidence: 99%
“…To elicit the economic significance of explanatory variables, the decomposition analyses by Israel and Ross (2017) and Holgersson et al (2014) are adopted. Table A1 presents an example of how the numbers for the decomposition analyses are derived with the Fama-French five-factor model and MOM.…”
Section: Appendixmentioning
confidence: 99%
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