Factor Investment: Evaluating Persistence Effect for Investment Performance and Sustainability Exposure

Xiaoshuang Yang, Xingyu Chen and Jiaxin Xie

International Journal of Economics and Finance, 2021, vol. 13, issue 6, 143

Abstract: This research includes two separate studies. The first study is devoted to evaluating the persistence effect by analyzing performances of portfolios ranked based on previous performances under various factor models. The result shows that the shorter the holding period, the stronger the predictability and that the Multi-factor model has the highest explaining power for the excess return regarding the underlying factors. The second study is devoted to exploring how sustainable investing influences alpha by introducing a new sustainable factor to reflect the premium due to exposure to sin industries. The study result shows that there is no significant alpha associated with sustainable investing and that there is no significant return differential between funds that have high/low exposure to the sustainable factor.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ccsenet.org/journal/index.php/ijef/article/download/0/0/45363/48225 (application/pdf)
http://www.ccsenet.org/journal/index.php/ijef/article/view/0/45363 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:13:y:2021:i:6:p:143

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().