Essays about: "Factor-portfolio sorting techniques"
Found 1 essay containing the words Factor-portfolio sorting techniques.
-
1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
University essay from Göteborgs universitet/Graduate SchoolAbstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE
Result pages:
1