Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes

Switzer, Lorne N.; Fan, Haibo

doi:10.3905/jpm.2007.690611

Cited by 16 publications

(9 citation statements)

References 14 publications

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“…16 The results of this analysis are presented in Table 6, Panels A, B and C. The findings indicate that each property type index is significant over the entire period, but that industrial and self storage are insignificant over the pre-crisis period and that office and lodging are insignificant over the crisis-results that are not consistent to those found when only stocks were part of the benchmark assets. Thus the results of our spanning tests confirm earlier studies that had demonstrated that traditional spanning tests may be sensitive to the choice of benchmarks assets used and the time horizon analyzed (Chen et al 2005, Chiang and Lee 2007and Switzer and Fan 2007.…”

Section: Spanning Regression Analysessupporting

confidence: 85%

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Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Yunus

2017

J Real Estate Finan Econ

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This study explores the dynamic nature of linkages among seven key real estate sectors which include residential, health, lodging-resort, storage, office, retail and industrial. Long-run results reveal evidence of increased integration and contagion across the real estate sectors in the wake of the housing crisis. Short-run analyses suggest bi-directional causality and indicate that shocks to one real estate sector have a much more severe and persistent impact on other real estate sectors during the post-crisis period in comparison to the pre-crisis period. Finally, ripple effects are observed across the real estate sectors with shocks emanating from thè`d ominant^residential sector and spilling over to other real estate sectors.

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Section: Spanning Regression Analysessupporting

confidence: 85%

“…This iterative procedure is continued until the list of N test asset(s) is exhausted. The Wald likelihood ratio test and Lagrange multiplier test statistics are used to test the null hypothesis (See Switzer and Fan (2007)) for an extensive discussion).…”

Section: Long-run Analysis: Cointegration Testsmentioning

confidence: 99%

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Yunus

2017

J Real Estate Finan Econ

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“…Petrella (2005) and Switzer and Fan (2007) provide empirical evidence on the portfolio benefits of small caps in the presence of such more realistic investment policies. We follow their approach and test for the magnitude of the change in the variance of the global minimum variance portfolio and for the change in the sharpe ratio of the tangency portfolio, respectively, once hedge funds are added to the asset allocation process.…”

Section: Mean-variance Spanning Testsmentioning

confidence: 98%

Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests

Bessler

Holler

Kurmann

2012

Financ Mark Portf Manag

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This paper analyzes the contribution of hedge funds to optimal asset allocations between 1993 and 2010. The preferences of specific institutional investors are captured by implementing a Bayesian asset allocation framework that incorporates heterogeneous expectations regarding hedge fund alpha. Mean-variance spanning tests are used to infer the ability of hedge funds to significantly enhance the mean-variance efficient frontier. Further, a novel democratic variance decomposition procedure sheds light on the dynamics in the co-movement of hedge fund returns with a set of common benchmark assets. The empirical findings indicate that portfolio benefits of hedge funds are time-varying and strongly depend on investor optimism regarding hedge funds' ability to generate alpha. In general, allocations to hedge funds improve the global minimum variance portfolio even after controlling for short-selling restrictions and minimum diversification constraints. However, due to dynamics underlying the composition of the aggregate hedge fund universe, the factor structure of hedge fund returns has become more similar to the benchmark assets over time.

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“…Whereas Switzer & Fan (2007) came to the result that the high returns of small caps could be country-specific (Switzer, 2010). Based on the results of Fa-ma & French (1993), that smaller and therefore riskier firms achieve higher returns than larger companies, Pandey & Sehgal (2016) identified several factors which caused the higher risk.…”

Section: Literature Reviewmentioning

confidence: 99%

Small versus Large Caps—Empirical Performance Analyses of Stock Market Indices in Germany, EU & US since Global Financial Crisis

Fahling¹,

Ghiani²,

Simmert³

2020

JFRM

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Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes

Cited by 16 publications

References 14 publications

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests

Small versus Large Caps—Empirical Performance Analyses of Stock Market Indices in Germany, EU & US since Global Financial Crisis

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Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes

Cited by 16 publications

References 14 publications

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests

Small versus Large Caps—Empirical Performance Analyses of Stock Market Indices in Germany, EU &amp; US since Global Financial Crisis

Contact Info

Product

Resources

About

Small versus Large Caps—Empirical Performance Analyses of Stock Market Indices in Germany, EU & US since Global Financial Crisis