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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | Buying small-minus-big after market upturns: International Evidence |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 47 |
Date | 2017 |
Abstract Text | The size premium of Germany is positively dependent on the market return of the previous trading period. A conditional size premium strategy that is long (short) in small stocks and short (long) in large stocks after market upturns (downturns) yields a monthly four-factor alpha of 0.6% when rebalanced monthly. Moreover, this holds in an international context and can be exploited with a global ETF strategy resulting in risk-adjusted profits of 0.5% per month. |
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