文章基本信息

标题：The Search For A Dog-Free Portfolio: Why Unions Matter To Investors
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作者：Carol M. Boyer ; Stephen J. Ciccone ; Philip Swicegood 等
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2010
卷号：8
期号：6
语种：English
出版社：The Clute Institute for Academic Research
摘要：This paper uses portfolio filtering and weighting research to create a dog-free portfolio. The variables used to create the dog-free portfolio include level of unionization and book-to-market. The filtered and weighted portfolio is averaging 47 basis points alpha per month from 1991-2007 over the benchmark S&P500, outperforming in 60.8% of the months. Using annual data, the portfolio averages 603 basis points alpha from 1991-2007 over the benchmark S&P500, outperforming 82.4% of the time.
关键词：performance;alpha;unions;book-to-market;portfolio filtering