Solution-Strategy generates abnormal returns

Strategy generates abnormal returns

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Reference no: EM133071758

In class we discussed several portfolio strategies which seem to earn high returns without being very risky (e.g., size or small cap premium, momentum strategies). Suppose you suspect that companies with high asset growth (an observable variable) earn abnormal negative returns, whereas companies with low asset turnover earn abnormal positive returns. Describe the steps you would undertake to test whether this strategy generates abnormal returns.

Reference no: EM133071758

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Strategy generates abnormal returns

Reference no: EM133071758

Reference no: EM133071758

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