What can cluster analysis offer in investing? - Measuring structural changes in the investment universe
What can cluster analysis offer in investing? - Measuring structural changes in the investment universe
复制标题
聚类分析可以为投资提供什么？
DOI：
10.1016/j.iref.2020.09.004
复制
发表时间：
2021
影响因子：
4.5
通讯作者：
Huo, Xiaoming
中科院分区：
文献类型：
--
作者：
Sim, Min Kyu;Deng, Shijie;Huo, Xiaoming
投资领域的资产回报率往往形成一个集群结构。这项研究量化了这种集群趋势的强度，作为一个单一的计量经济学指标，称为模块化。通过对美国股票市场的实证研究，我们证明了集群趋势的强度随着时间的推移而变化。也就是说，正常市场往往具有清晰的集群结构（高模块化），而压力市场往往具有模糊的集群结构（低模块化）。模块化评估的质量，投资机会的潜在多样化的好处。模块化是美国股票横截面回报的一个重要定价变量。从1992年到2015年，对模块化敏感度最低的股票（低模块化贝塔）的平均回报率每年超过敏感度最高的股票（高模块化贝塔）约10.49%，经Fama-French五因素风险调整。因此，将模块化作为资产定价因素，为基于因素的投资者扩大了投资机会。
The return on assets of the investment universe tends to form a cluster structure. This study quantifies this strength of the clustering tendency as a single econometric measure, referred to as modularity. Through an empirical study of the US equity market, we demonstrate that the strength of the clustering tendency changes over time with market fluctuations. That is, normal markets tend to have a clear cluster structure (high modularity), while stressed markets tend to have a blurry cluster structure (low modularity). Modularity assesses the quality of an investment opportunity set in terms of potential diversification benefits. Modularity is an important pricing variable in the cross-sectional returns of US stocks. From 1992 to 2015, the average return of the stocks with the lowest sensitivity to modularity (low modularity beta) exceeds that of the stocks with the highest sensitivity (high modularity beta) by approximately 10.49% annually, adjusted for the Fama-French five-factor exposures. The inclusion of modularity as an asset pricing factor, therefore, expands the investment opportunity set for factor-based investors.
影响因子：
6.1
作者：
GIBBONS, MR;ROSS, SA;SHANKEN, J
通讯作者：
SHANKEN, J
通过高频分析揭示金融网络的连接结构
DOI：
--
发表时间：
2009
期刊：
影响因子：
--
作者：
D. Materassi;G. Innocenti
通讯作者：
G. Innocenti
基础资产
DOI：
--
发表时间：
2003
期刊：
影响因子：
--
作者：
D. Ahn;Jennifer S. Conrad;Robert F. Dittmar
通讯作者：
Robert F. Dittmar