Effects of common factors on stock correlation networks and portfolio diversification

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• 作者：Cheoljun Eom^a ; ^{shunter@pusan.ac.kr} ; Jong Won Park^b ; ^{parkjw@uos.ac.kr}
• 关键词：G11 ; C30 ; C15 ; C60
• 刊名：International Review of Financial Analysis
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：49
• 期：Complete
• 页码：1-11
• 全文大小：1179 K
• 卷排序：49

文摘

Common factors significantly affect the connectivity of the network among stocks. Common factors significantly affect the distribution of investment weight for stocks. The devised method substantially assist in constructing a more diversified portfolio. This diversified portfolio achieves better out-of-sample performance. These results are robust in both the Korean and the U.S. stock markets.