TY - GEN
T1 - Analyzing the influence of market conditions on the effectiveness of smart beta
AU - Takahashi, Hiroshi
PY - 2015
Y1 - 2015
N2 - Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors’ behavior. These results are significant from both practical and academic viewpoints.
AB - Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors’ behavior. These results are significant from both practical and academic viewpoints.
KW - Agent-based model
KW - Asset management business
KW - Financial markets
KW - Smart beta
UR - http://www.scopus.com/inward/record.url?scp=84947903207&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84947903207&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-19728-9_35
DO - 10.1007/978-3-319-19728-9_35
M3 - Conference contribution
AN - SCOPUS:84947903207
SN - 9783319197272
VL - 38
T3 - Smart Innovation, Systems and Technologies
SP - 417
EP - 426
BT - Smart Innovation, Systems and Technologies
PB - Springer Science and Business Media Deutschland GmbH
T2 - 9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015
Y2 - 17 June 2015 through 19 June 2015
ER -