Size Premium Across Regions Year Month Global Market Developed Emerging Europe Japan Asia-Pacific Excluding Japan North America 2020 1 -1.2 -2.16 2.02 0.36 -1.37 -0.96 -2.66 2020 2 -8.54 -1.23 -0.05 0.29 -5.21 -2.53 -0.07 2020 3 -13.77 -3.29 -3.36 -4.22 1 -2.7 -8.07 2020 4 10.68 2.34 1.99 5.04 3.18 1.52 4.13 2020 5 5.3 2.65 1.27 1.21 3.66 6.68 3.13 2020 6 2.76 0.19 1.09 -1.2 0.76 -3.09 2.05 2020 7 4.34 -1.26 -0.78 2.69 -1.4 3.17 -2.32 2020 8 6.84 1.45 1.87 2.91 0.78 1.01 -0.87 2020 9 -3 2.39 0.5 0.85 5.11 3.08 0.79 2020 10 -2.6 1.22 -2.17 1.21 -1.38 -0.54 4.88 2020 11 13.34 0.67 1.03 0.3 -4.72 -2.25 5.23 2020 12 4.82 3.31 -1.79 4.66 -2 1.8 4.8 Question: Calculate the time-series average returns and standard deviations to the size premiums across the six regions/countries. You should also consider the reward to risk ratios calculated as premium divided by standard deviation.
Size Premium Across Regions Year Month Global Market Developed Emerging Europe Japan Asia-Pacific Excluding Japan North America 2020 1 -1.2 -2.16 2.02 0.36 -1.37 -0.96 -2.66 2020 2 -8.54 -1.23 -0.05 0.29 -5.21 -2.53 -0.07 2020 3 -13.77 -3.29 -3.36 -4.22 1 -2.7 -8.07 2020 4 10.68 2.34 1.99 5.04 3.18 1.52 4.13 2020 5 5.3 2.65 1.27 1.21 3.66 6.68 3.13 2020 6 2.76 0.19 1.09 -1.2 0.76 -3.09 2.05 2020 7 4.34 -1.26 -0.78 2.69 -1.4 3.17 -2.32 2020 8 6.84 1.45 1.87 2.91 0.78 1.01 -0.87 2020 9 -3 2.39 0.5 0.85 5.11 3.08 0.79 2020 10 -2.6 1.22 -2.17 1.21 -1.38 -0.54 4.88 2020 11 13.34 0.67 1.03 0.3 -4.72 -2.25 5.23 2020 12 4.82 3.31 -1.79 4.66 -2 1.8 4.8 Question: Calculate the time-series average returns and standard deviations to the size premiums across the six regions/countries. You should also consider the reward to risk ratios calculated as premium divided by standard deviation.
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
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| Size Premium Across Regions | ||||||||
| Year | Month | Global Market | Developed | Emerging | Europe | Japan | Asia-Pacific Excluding Japan | North America |
| 2020 | 1 | -1.2 | -2.16 | 2.02 | 0.36 | -1.37 | -0.96 | -2.66 |
| 2020 | 2 | -8.54 | -1.23 | -0.05 | 0.29 | -5.21 | -2.53 | -0.07 |
| 2020 | 3 | -13.77 | -3.29 | -3.36 | -4.22 | 1 | -2.7 | -8.07 |
| 2020 | 4 | 10.68 | 2.34 | 1.99 | 5.04 | 3.18 | 1.52 | 4.13 |
| 2020 | 5 | 5.3 | 2.65 | 1.27 | 1.21 | 3.66 | 6.68 | 3.13 |
| 2020 | 6 | 2.76 | 0.19 | 1.09 | -1.2 | 0.76 | -3.09 | 2.05 |
| 2020 | 7 | 4.34 | -1.26 | -0.78 | 2.69 | -1.4 | 3.17 | -2.32 |
| 2020 | 8 | 6.84 | 1.45 | 1.87 | 2.91 | 0.78 | 1.01 | -0.87 |
| 2020 | 9 | -3 | 2.39 | 0.5 | 0.85 | 5.11 | 3.08 | 0.79 |
| 2020 | 10 | -2.6 | 1.22 | -2.17 | 1.21 | -1.38 | -0.54 | 4.88 |
| 2020 | 11 | 13.34 | 0.67 | 1.03 | 0.3 | -4.72 | -2.25 | 5.23 |
| 2020 | 12 | 4.82 | 3.31 | -1.79 | 4.66 | -2 | 1.8 | 4.8 |
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Calculate the time-series average returns and standard deviations to the size premiums across the six regions/countries. You should also consider the reward to risk ratios calculated as premium divided by standard deviation.
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