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A recent study by two prominent finance researchers, Fama and French, introduces a new framework for studying risk vs. return: the migration of stocks across size-value portfolio space. Given the financial events of 2008, this first attempt to disentangle the relationships between migration behavior and stock returns is especially timely. Their work, however, derives results only for market segments, not individual companies, and only for one-year moves. Thus, the authors see a new challenge for financial data mining: how to capture and categorize the migration of individual companies, and how such behavior affects their returns.
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