Lagged factors affecting Berkshire Hathaway returns

Robert Christopherson and Greg Gregoriou ()
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Robert Christopherson: Associate Professor and Chair of Economics and Finance in the School of Business and Economics at the State University of New York (Plattsburgh)

Journal of Asset Management, 2004, vol. 5, issue 4, No 6, 272-276

Abstract: Abstract Berkshire Hathaway is regarded as the mover of markets and one of the biggest funds in the world, and is managed by Warren Buffett. By means of a linear factor model, macroeconomic variables and market factors are regressed on the monthly performance of Berkshire Hathaway. The goal is to see whether Warren Buffet is really a value investor. A new set of factors are identified in an attempt to predict Berkshire Hathaway returns.

Keywords: Warren Buffett; Berkshire Hathaway; indices; time lags; macroeconomic factors; market factors; linear factor model (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1057/palgrave.jam.2240145

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