A study of the effectiveness of style rotation strategies with size and value effects in European market
碩士 === 國立政治大學 === 金融研究所 === 104 === This paper documents the presence of two regimes in the joint distribution of stock returns on European market premium portfolio and portfolios tracking size- and value effects in the Euro area. The mean returns of the EMU market portfolio and SMB portfolios are h...
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| Format: | Others |
| Language: | en_US |
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2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12927688139232548864 |