A0603
Title: A portfolio perspective on the multitude of firm characteristics
Authors: Alberto Martin Utrera - Lancaster University Management School (United Kingdom) [presenting]
Abstract: The aim is to investigate which characteristics matter jointly for an investor who cares not only about average returns but also about portfolio risk, transaction costs, and out of sample performance. We find only a small number of characteristics (six) are significant without transaction costs. With transaction costs, the number of significant characteristics increases to 15 because the trades in the underlying stocks required to rebalance different characteristics often net out. We show investors can identify combinations of characteristics with abnormal out-of-sample returns net of transaction costs that are not fully explained previous factors.
