HdOut-MiscTopics-Final

HdOut-MiscTopics-Final - e i z /'t /o7 l7z )i !; ti 1:...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
l7z e i z /'t /o7 )i !; 1: ti ----t-t- "--a+- j frjteryi-Kois--?y---yry--= 1entrsfuJ.,/ ls- -.-----n ifo. ho,/ ntn[nfu.fo c- - *. -9 u- r=t oln i / Lqtq+--*-2r*ru VIyu_Z_(i,_,_tA_ fiif.oL-"/ EtL-- <-3 --( a,o'| Lqr.fu- hhh a- -r-.!qn-lg,t h,oh.n rt>t(-Dn\ =t2e - --efrrc,-1-_eEF".-+-Lv* lo .- qei- .-h tq L e- - L6tou---fi -eitt.a--:-g-'-*-_---fr !*'huQ
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
--!*h\o $- nuue^fuul n-e-q4z--o--"E Jy-zt--Ja-----m-q K + tt 4gE"fu!-LPr;oc lne,r4'fu-\ i' Ut:a/ ;f h v/o lu, € to /a i"*t w hc n fuE--v*Jte--tro-p-
Background image of page 2
Decile 1 -Largest 2 3 4 5 '10-Smallest Beta' 091 103 1.10 112 1.16 1 1B 124 130 1 2tr 141 Arith- mettc Mean Seturn 10.75 12.51 13 06 13 45 14.23 14.48 14.84 15 9s 16 62 20.13 CAPN4 Return in Excess ot Fiskless Ratel (9',") 556 7.31 787 825 903 s28 965 10 76 11 42 14 93 591 663 713 t28 149 7.65 803 841 8.71 912 lq 36 .q,9? o'!! q,9l 1 .54 ^ I .bJ 1..62 l,ii 2.71 68i of the NYSE/AMEX/NASDAO lie above the line, indicating that these deciles have had returns in excess of their risk. Table 7-6: Size-Decile Portfolios of rhe NYSE/A|VEX/NASDAo \ 7 Serial Correlation in Small Company Stock Returns The serial c0rrelati0n, or flrst-order autoc0rrelation, 0f returns on large capitalization stocks is near zero. [See Table 7-1.1 lf stock returns are serially correlated, then one can gain some inf ormation about f uture performance based on past returns. For the smallest stocks, the serjal correlation is near or above 0 1 This observation bears further examination. Table 7-7: Size-Decile Podolios of the NYSE/A[,4EX/NASDAO Serial Correlations of Annual Beturns in Excess of Decile 1 Returns Serial Conelations of Annual Heturns rn Excess of 0ecile 1 Feturn Decile 2 Decile 3 Decile 4 Decile 5 Decile 6 Decile 7 Decile B Decile 9 Decile '10 026 033 0,30 033 0ata from 192F2008 Source: Calculated (or Derived) based on dara lrom CffSP US Stock Database and CRSP US lndices Database 102009 Cenrer for Research in Security Prices {CFSPo), The University of Chicago Booth School ol Business Used with permisslon To remove the randomizing effect of the market as a whole, the returns for decile 1 are geometrically subtracted from the returns for deciles 2 through '10 The result illustrates that these series differences exhibit greater serial correla- tion than the decile series themselves Table l-7 above presents the serial correlations of the excess returns for deciles 2 through 10. These serial correlations suggest predictability of smaller company excess returns
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 4
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 7

HdOut-MiscTopics-Final - e i z /'t /o7 l7z )i !; ti 1:...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online