When the tide wanes: A study of post systemic collapse portfolio management

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103675
Andrew Lepone, Chen Yu Yan
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Abstract

This study applies the Black–Litterman model to portfolio management in a post-crisis scenario, where standard parametric models often fail due to market irrationality and investor overreactions. The research focuses on the performance of surviving firms, identifying that over-performing stocks tend to outperform in the medium- to long-term, while under-performing stocks exhibit stronger short-term returns as the market corrects its initial overreaction. The study specifically adjusts views within the Black–Litterman framework using only the top and bottom quartiles of stocks, which experience the most significant shifts during a crisis. By controlling for firm size and book-to-market ratios, consistent with the Fama-French three-factor model, the research demonstrates that adjusting portfolio weights with the Black–Litterman model can achieve substantially higher returns with lower downside risk during recovery periods. These findings have significant implications for portfolio managers seeking to optimize returns in volatile, post-crisis markets.
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当潮水退去系统性崩溃后投资组合管理研究
本研究将布莱克-利特曼模型应用于危机后的投资组合管理,在危机后,由于市场非理性和投资者反应过度,标准参数模型往往失效。研究重点关注幸存企业的表现,发现表现优异的股票往往在中长期表现优异,而表现不佳的股票则会在市场纠正其最初的过度反应时表现出更强的短期回报。该研究在布莱克-利特曼框架内,仅使用危机期间变动最显著的顶部和底部四分位数股票来调整观点。通过控制公司规模和账面市值比(与法玛-法式三因素模型一致),研究表明,利用布莱克-利特曼模型调整投资组合权重,可以在复苏期间以较低的下行风险获得更高的回报。这些研究结果对投资组合经理在危机后动荡的市场中寻求最优回报具有重要意义。
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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