Sources of cross sectional and time series variation in stock returns in Canada
In this study, I will use attribute-sorted portfolios for some of the most popular fundamental and technical factors mentioned in past literature. The study will be the first to address whether or not the joint hypothesis of the Fama and French multi-factor model and the Efficient Market Hypothesis...
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| Format: | Others |
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2003
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| Online Access: | http://spectrum.library.concordia.ca/2108/1/MQ77676.pdf Yotis, Harry <http://spectrum.library.concordia.ca/view/creators/Yotis=3AHarry=3A=3A.html> (2003) Sources of cross sectional and time series variation in stock returns in Canada. Masters thesis, Concordia University. |
| Summary: | In this study, I will use attribute-sorted portfolios for some of the most popular fundamental and technical factors mentioned in past literature. The study will be the first to address whether or not the joint hypothesis of the Fama and French multi-factor model and the Efficient Market Hypothesis hold for Canadian firms. In addition, I will explore whether or not recent variance of the Fama and French approach have validity in Canada. The results show that although the multi-factor model is significant in explaining returns it does not fully explain the cross section of Canadian returns. Furthermore, when using the multi-factor approach on portfolios sorted by capital investment expenditures the model does poorly. The case for efficient markets is not supported by the Canadian data. |
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