Title: Dynamic analysis of the ARP investment universe
Authors: Serge Darolles - Paris Dauphine (France) [presenting]
Marie Lambert - HEC Liege (Belgium)
Abstract: The aim is to study the persistence over time of the performance of alternative risk premiums. Using this approach, we test whether or not these premiums are associated with one of several systematic dimensions of risk. If so, their performance should not decrease when the number of financial products allowing exposure to these premiums increases (diversity of the category), or when the exchange volume also increases. We use to a new database that brings together a large number of indices marketed by banks and asset managers, and allowing a direct and liquid exposure to the numerous risk premiums identified by academics and practitioners.