Analyzing the influence of market conditions on the effectiveness of smart beta

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Title of host publicationSmart Innovation, Systems and Technologies
PublisherSpringer Science and Business Media Deutschland GmbH
Pages417-426
Number of pages10
Volume38
ISBN (Print)9783319197272
DOIs
Publication statusPublished - 2015
Event9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015 - Sorrento, Italy
Duration: 2015 Jun 172015 Jun 19

Publication series

NameSmart Innovation, Systems and Technologies
Volume38
ISSN (Print)21903018
ISSN (Electronic)21903026

Other

Other9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015
CountryItaly
CitySorrento
Period15/6/1715/6/19

Fingerprint

Asset management
Industry
Experiments
Market conditions
Stock index
Investor behavior
Agent-based modeling
Price index
Experiment
Excess returns

Keywords

  • Agent-based model
  • Asset management business
  • Financial markets
  • Smart beta

ASJC Scopus subject areas

  • Computer Science(all)
  • Decision Sciences(all)

Cite this

Takahashi, H. (2015). Analyzing the influence of market conditions on the effectiveness of smart beta. In Smart Innovation, Systems and Technologies (Vol. 38, pp. 417-426). (Smart Innovation, Systems and Technologies; Vol. 38). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-319-19728-9_35

Analyzing the influence of market conditions on the effectiveness of smart beta. / Takahashi, Hiroshi.

Smart Innovation, Systems and Technologies. Vol. 38 Springer Science and Business Media Deutschland GmbH, 2015. p. 417-426 (Smart Innovation, Systems and Technologies; Vol. 38).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Takahashi, H 2015, Analyzing the influence of market conditions on the effectiveness of smart beta. in Smart Innovation, Systems and Technologies. vol. 38, Smart Innovation, Systems and Technologies, vol. 38, Springer Science and Business Media Deutschland GmbH, pp. 417-426, 9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015, Sorrento, Italy, 15/6/17. https://doi.org/10.1007/978-3-319-19728-9_35
Takahashi H. Analyzing the influence of market conditions on the effectiveness of smart beta. In Smart Innovation, Systems and Technologies. Vol. 38. Springer Science and Business Media Deutschland GmbH. 2015. p. 417-426. (Smart Innovation, Systems and Technologies). https://doi.org/10.1007/978-3-319-19728-9_35
Takahashi, Hiroshi. / Analyzing the influence of market conditions on the effectiveness of smart beta. Smart Innovation, Systems and Technologies. Vol. 38 Springer Science and Business Media Deutschland GmbH, 2015. pp. 417-426 (Smart Innovation, Systems and Technologies).
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