Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods

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Referenz

Kaiser, L. (2017). Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods. Journal of Investment Strategies, 7(1), 1-20.

Publikationsart

Artikel in Journal

Abstract

This paper sheds light on the entanglement of index weighting schemes. First, we show that a high degree of absolute holdings overlap is not a sufficient measure of the level of conformity with a benchmark. Second, we take a closer look at portfolio concentration and equity market contagion. We monitor a pattern where index weighting schemes experience highly correlated returns after 2008, alongside a drop in relative portfolio holdings overlap during periods of increased market volatility. We are able to show that portfolio concentration is caused by a "flight to familiarity" and, as such, the impact of equity market contagion is largely consistent across alternative index weighting schemes.

Forschung

Quantitatives Investment Management und Portfoliooptimierung
Dissertation, März 2011 bis Februar 2015 (abgeschlossen)

Der Fokus der vorliegend kumulativen Dissertation lässt sich in drei Teilbereiche unterteilen. Die ersten beiden Teile befassen sich mit der Reduzierung von Schätzfehlern in Bezug auf Rendite und ... mehr

Mitarbeiter

Einrichtungen

  • Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement
  • Institut für Finance

Original Source URL

Link

DOI

http://dx.doi.org/10.21314/JOIS.2017.091