The Impact of Portfolio Diversification on Trading Rules Profits: Some Evidence for UK Share Portfolios
发现英国股票组合收益的自相关随证券数量增加而增强，但这一现象主要由非同步交易导致，无法通过交易规则获利。
This paper demonstrates how the autocorrelation structure of UK portfolio returns is linked to dynamic interrelationships among the component securities of that portfolio. Moreover, portfolio return autocorrelation is shown to be an increasing function of the number of securities in the portfolio. Since the security interrelationships seemed to be more a product of their history of non‐synchronous trading than of systematic industry‐related phenomena, it should not be possible to exploit the high levels of return persistence using trading rules. We show that rules designed to exploit this portfolio autocorrelation structure do not produce economic profits.