Decomposing Differences in Quantile Portfolio Returns betweenNorth America and Europe Using Recentered Influence Function Regression
Journal: THE INTERNATIONAL JOURNAL OF BUSINESS MANAGEMENT AND TECHNOLOGY (Vol.3, No. 3)Publication Date: 2019-06-30
Authors : Weige Huang;
Page : 12-12
Keywords : Decomposition Analysis; Oaxaca-Blinder Decomposition; Five-factor Asset Pricing Model; Recentered Influence Function Regression; Unconditional Quantile regression;
Abstract
Huang (2018) decomposes the differences in quantile portfolio returns using distribution regression. The main issue of using distribution regression is that the decomposition results are path dependent. In this paper, we are able to obtain path independent decomposition results by combining the Oaxaca-Blinder decomposition and the recentered influence function regression method. We show that aggregate composition effects are all positive across quantiles and the market factor is the most significant factor which has detailed composition effect monotonically decreasing with quantiles. The main decomposition results are consistent with Huang (2018)
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Last modified: 2019-10-03 14:49:03