FAANG stocks
A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically...
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Institutional Knowledge at Singapore Management University
2021
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sg-smu-ink.lkcsb_research-79012022-04-21T07:45:30Z FAANG stocks LOH, Roger A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically significant. Pre-acronym alphas are in contrast strong and robust. FAANG-sector stocks comove more with a FAANG portfolio in the post-acronym period. But sorting stocks on their FAANG beta does not earn a reliable return spread. These results might be consistent with investors over-extrapolating the success of hot investing themes, and abnormal profits become less remarkable after popularization. 2021-10-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6902 info:doi/10.2139/ssrn.3938244 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7901/viewcontent/SSRN_id3938244.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University FANG stocks FAANG stocks Extrapolative beliefs Comovement Finance and Financial Management |
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FANG stocks FAANG stocks Extrapolative beliefs Comovement Finance and Financial Management |
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FANG stocks FAANG stocks Extrapolative beliefs Comovement Finance and Financial Management LOH, Roger FAANG stocks |
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A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically significant. Pre-acronym alphas are in contrast strong and robust. FAANG-sector stocks comove more with a FAANG portfolio in the post-acronym period. But sorting stocks on their FAANG beta does not earn a reliable return spread. These results might be consistent with investors over-extrapolating the success of hot investing themes, and abnormal profits become less remarkable after popularization. |
| format |
text |
| author |
LOH, Roger |
| author_facet |
LOH, Roger |
| author_sort |
LOH, Roger |
| title |
FAANG stocks |
| title_short |
FAANG stocks |
| title_full |
FAANG stocks |
| title_fullStr |
FAANG stocks |
| title_full_unstemmed |
FAANG stocks |
| title_sort |
faang stocks |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2021 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/6902 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7901/viewcontent/SSRN_id3938244.pdf |
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