Subscribe Now Subscribe Today
Science Alert
 
Blue
   
Curve Top
Journal of Applied Sciences
  Year: 2012 | Volume: 12 | Issue: 8 | Page No.: 761-767
DOI: 10.3923/jas.2012.761.767
 
Facebook Twitter Digg Reddit Linkedin StumbleUpon E-mail

Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets

D. Amatyakul and P. Chintrakarn

Abstract:
This study explored the turn-of-the-year and portfolio-rebalancing effect in emerging markets by forming twenty equally weighted portfolios ranked by market equity and firm’s risk. The medium-size firm quintile was the least risky and was strongly positively significant in risk-return relationship. Moreover, even in those Januaries for which the market return was negative, small firm returns were positive and they were more positive the lower the beta. However, there is no supportive evidence that portfolio-rebalancing effect occurs during the period.
PDF Fulltext XML References Citation Report Citation
 RELATED ARTICLES:
  •    Determinants of Portfolio Flows to Ghana: A Dynamic Stochastic General Equilibrium Analysis
  •    GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market
  •    Stock Market Indices and Investment Funds. An Empirical Approach in the Spanish and European Context
  •    On Development of Technical Analysis Based Portfolio Optimization Models
How to cite this article:

D. Amatyakul and P. Chintrakarn, 2012. Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets. Journal of Applied Sciences, 12: 761-767.

DOI: 10.3923/jas.2012.761.767

URL: https://scialert.net/abstract/?doi=jas.2012.761.767

COMMENT ON THIS PAPER
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Curve Bottom