Category: Neighbouring Assets
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What does “Neighbouring Assets” teach us? – 01
One may wonder what derives the high performance of the “neighbouring assets” strategy. In this paper, I show that if we classify assets into 10 portfolios based on the past performance of their neighbours and create hedge portfolios, the long-short portfolio easily generates strong and significant alphas, both statistically and economically. Now, the question here…
Sina Seyfi 