Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/20474
Title: | Portfolio size, non-trading frequency and portfolio return autocorrelation |
Authors: | Chelley-Steeley, PL Steeley, JM |
Keywords: | Portfolio return autocorrelation;Non-trading;Diversification |
Issue Date: | 1-Nov-2014 |
Publisher: | Elsevier |
Citation: | Journal of International Financial Markets, Institutions and Money, 2014, 33 (1), pp. 56 - 77 |
Abstract: | In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. |
URI: | http://bura.brunel.ac.uk/handle/2438/20474 |
DOI: | http://dx.doi.org/10.1016/j.intfin.2014.07.001 |
ISSN: | 1042-4431 http://dx.doi.org/10.1016/j.intfin.2014.07.001 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText.pdf | 1.04 MB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.