(a) Compare the performance of these size premiums with the global market premium over this period. Do they outperform or underperform the market? (b) Examine the time-series return pattern of these size premiums. Are there any specific periods in which the size premiums outperform or underperform? Based on the time-series return pattern, do you think market condition (e.g. boom or recession) plays a role in explaining the return variation for the size premiums?
(a) Compare the performance of these size premiums with the global market premium over this period. Do they outperform or underperform the market? (b) Examine the time-series return pattern of these size premiums. Are there any specific periods in which the size premiums outperform or underperform? Based on the time-series return pattern, do you think market condition (e.g. boom or recession) plays a role in explaining the return variation for the size premiums?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
(a) Compare the performance of these size premiums with the global market premium over this period. Do they outperform or underperform the market?
(b) Examine the time-series return pattern of these size premiums. Are there any specific periods in which the size premiums outperform or underperform? Based on the time-series return pattern, do you think market condition (e.g. boom or recession) plays a role in explaining the
return variation for the size premiums?
(b) identify two potential theories/reasons why small firms may outperform large firms.
instruction use the table given
the table shows time-series average returns and standard deviations to the size premiums across
the five regions/countries
Transcribed Image Text:0.3611
1991
-0.9684
-2.86022
-1.3596
-2.46667
11
1991
10
|-1.5102
29.14286
-1.45087
0.191011
-0.60909
1991
11
-4.36
-1.70853
-1.70513
-2.08491
4.697674
Average
-5.2582
8.98858
-0.34074
-1.37644
-0.74847
return
7
Standard
13.414
33.65531
4.338805
1.713204
1.857981
Deviation
38
-0.3919
Risk ratio
0.267078
-0.07853
-0.80343
-0.40284
Transcribed Image Text:Develo
Asia-Pacific
Year
Month
Emerging
Europe
Japan
ped
Excluding Japan
1990
7
-3.8490
1990
8
1.232759
-0.37931
-1.82833
-2.04967
|-1.8741
1990
1,992278
10
-1.13481
0.271293
7
|-6.7424
1990
10
-0.28129
-2.32828
0.80597
-2.28536
-1.1899
1990
11
-0.693
-0.01141
-5.57025
-0.68919
7
|-1.5138
1990
12
-1,56725
-1.38077
0.059675
0.89441
1.5270
1991
1
-1.48454
-5.18182
0.290102
0.131148
27
-2.3155
1991
2
-11.766
-1.27778
-2,47487
-0.61159
0.3333
1991
-1.89921
0.895652
-0.67444
-0.14925
33
-0.9969
1991
-0.98901
-1.14679
-0.61157
-2.2807
1991
5
-55
131.4
9.5625
-1.56028
-2.02055
-3.4444
1991
-1.23414
-1.18047
-2,48101
-1.34899
|-2.3560
1991
7
2.909677
-6.29508
-4
-3.13462
|-1.2011
4.
3,
4.
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