Portfolio Sorting Sample Clauses

Portfolio Sorting. ‌ In this subsection, I study the impact of those dependence measures on the cross-section of average stock returns using simple univariate portfolio sorting. At the beginning of each 12-month period at time t, I sort stocks into five quintile portfolios based on their realized LQP, UQP and DownAsy over the next 12 months. The portfolio returns are also computed as the average realized excess returns over the same 12-month period. Table 2.2 shows the contemporaneous relationship between excess returns and LQP (Panel A), UQP (Panel B), and DownAsy (Panel C). Both equal-weighted and value- weighted excess returns and Xxxxxxx (1997) four factor adjusted alphas are reported. The row labeled “High - Low” gives the difference between the returns of portfolio 5 and portfo- lio 1, with corresponding statistical significance levels. Although I use a 12-month horizon, the quintile portfolios are updated at a monthly frequency. Using overlapping information to compute the returns/alphas is more efficient but the 12-month returns/alphas are au- tocorrelated by construction. To account for the autocorrelations, I report t-statistics of returns/alphas differences computed using Newey and West (1987) heteroskedasticity and autocorrelation consistent (HAC) standardized errors with 12 lags.6 The sample covers all U.S. common stocks traded on the NYSE/AMEX/NASDAQ, and the sample period 5The results are available upon request.‌ 6Although the theoretical number of lags is 11, to follow the practice of Ang, Xxxx, and Xxxx (2006), I use 12 lags. Adding one more lag is more conservative and leads to smaller t-statistics than using 11 lags. is from January 1962 to December 2013, with the last 12-month period starting in Jan- uary 2013. For robustness checks, I also conduct cross-sectional regression analysis using nonoverlapping yearly periods in the later subsection. [Insert Table 2.2 about here]
Sample 1

Related to Portfolio Sorting

  • Portfolio Security Portfolio Security will mean any security owned by the Fund.

  • Portfolio Securities Portfolio securities of the Issuer may be bought or sold by or through Distributors, and Distributors may participate directly or indirectly in brokerage commissions or "spreads" for transactions in portfolio securities of the Issuer.

  • Procurement Project not financed with EU Funds The procurement is covered by the Government Procurement Agreement (GPA): yes

  • PORTFOLIO HOLDINGS The Adviser will not disclose, in any manner whatsoever, any list of securities held by the Portfolio, except in accordance with the Portfolio’s portfolio holdings disclosure policy.

  • Liability of Portfolio Supervisor The Portfolio Supervisor shall be under no liability to the Unit holders for any action taken or for refraining from the taking of any action in good faith pursuant to this Indenture or for errors in judgment, but shall be liable only for its own willful misfeasance, bad faith or gross negligence in the performance of its duties or by reason of its reckless disregard of its obligations and duties hereunder."

  • Transaction Processing All orders are subject to acceptance by us and by the Fund or its transfer agent, and become effective only upon confirmation by us. If required by law, each transaction shall be confirmed in writing on a fully disclosed basis and if confirmed by us, a copy of each confirmation shall be sent to you if you so request. All sales are made subject to receipt of shares by us from the Funds. We reserve the right in our discretion, without notice, to suspend the sale of shares of the Funds or withdraw the offering of shares of the Funds entirely. Orders will be effected at the price(s) next computed on the day they are received if, as set forth in the applicable Fund’s current Prospectus, the orders are received by us or an agent appointed by us or the Fund prior to the close of trading on the New York Stock Exchange, generally 4:00 p.m. eastern time (“Close of Trading”). Orders received after that time will be effected at the price(s) computed on the next business day. All orders must be accompanied by payment in U.S. Dollars. Orders payable by check must be drawn payable in U.S. Dollars on a U.S. bank, for the full amount of the investment. If you have entered into a FundSERV Agreement with us to effect transactions in Fund shares through FundSERV, you are hereby authorized to act on our behalf for the limited purpose of receiving purchase, exchange and redemption orders for Fund shares executed through FundSERV. You represent and warrant that all orders for the purchase, exchange or redemption of Fund shares transmitted to FundSERV for processing on or as of a given business day (Day 1) shall have been received by you prior to the Close of Trading on Day 1. Such orders shall receive the share price next calculated following the Close of Trading on Day 1 .You represent and warrant that orders received by you after the Close of Trading on Day 1 shall be treated by you and transmitted to FundSERV as if received on the next business day (Day 2). Such orders shall receive the share price next calculated following the Close of Trading on Day 2. You represent that you have systems in place reasonably designed to prevent orders received after the Close of Trading on Day 1 from being executed with orders received before the Close of Trading on Day 1.

  • Portfolio The portfolio is due by the end of the 12th week.

  • PRODUCTS MANUFACTURED IN PUBLIC INSTITUTIONS Bids offering Products that are manufactured or produced in public institutions will be rejected.

  • Portfolio Valuation and Diversification Etc Risk Factor Ratings;

  • Portfolio Transactions The Manager is authorized to select the brokers or dealers that will execute the purchases and sales of portfolio securities for the Portfolio and is directed to use its best efforts to obtain the best available prices and most favorable executions, except as prescribed herein. It is understood that the Manager will not be deemed to have acted unlawfully, or to have breached a fiduciary duty to the Fund or to the Portfolio, or be in breach of any obligation owing to the Fund or to the Portfolio under this Agreement, or otherwise, solely by reason of its having caused the Portfolio to pay a member of a securities exchange, a broker, or a dealer a commission for effecting a securities transaction for the Portfolio in excess of the amount of commission another member of an exchange, broker, or dealer would have charged if the Manager determines in good faith that the commission paid was reasonable in relation to the brokerage or research services provided by such member, broker, or dealer, viewed in terms of that particular transaction or the Manager’s overall responsibilities with respect to its accounts, including the Fund, as to which it exercises investment discretion. The Manager will promptly communicate to the officers and directors of the Fund such information relating to transactions for the Portfolio as they may reasonably request.