Full Description
Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks.
Contents
Literature Review.- Return Predictability and the Real Economy.- Study Design and Data.- Empirical Part I - Testing for Predictability.- Forecasting Models.- Empirical Part II - Investment Strategies.- Conclusion.