ECON 1 Lecture Notes - Lecture 12: Dividend Yield, Capital Asset Pricing Model, The Intercept
Document Summary
Benchmarks: for the excess market return take all stocks in the worldscope universe that are larger than. 5: the premium on smb factor is negative for all countries, indicating that small stocks suffered during period, momentum portfolio only adds value n 3 of 5 countries, espec. To italy and uk: absent in ger and france, negative correlation between smb and pr6m it could be that momentum is more pervasive amongst large stock han small stocks. 7: may driven by neg. exposure to momentum portfolios, hot hand -thesis is ambiguous as half of the significant results are negative, thus european funds are not employing simple momentum strategies as a study revealed for the u. s. market. 9: it can be concluded that the former results are not driven by time-variation in betas. Conclusion: preference of european funds for small cap stocks with a high book-to-market value.
