Essays about: "Size effect anomaly"

Showing result 6 - 7 of 7 essays containing the words Size effect anomaly.

1. 6. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

   University essay from Handelshögskolan vid Umeå universitet

   Author : Rustam Vosilov; Nicklas Bergström; [2010]
   Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

   Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

3. 7. CAN ONE OUTPERFORM THE MARKET BY INVESTING IN SMALL AND

   University essay from Handelshögskolan vid Umeå universitet

   Author : Mathieu Trembleau; Gustavo Hiodo; [2007]
   Keywords : Efficient Market Hypothesis; Abnormal returns; Size effect anomaly ; Passive strategy; Market Index; S P indices; Russell indices;

   Abstract : This study deals with one of the efficient market hypothesis’ anomaly. The research aims at proving the existence of a size anomaly by answering the question: can you outperform the market by investing in small and mid caps? It is in fact a questioning of the well-know efficient market hypothesis (EMH). READ MORE