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In class we discussed several portfolio strategies which seem to earn high returns without being very risky ( e . g . , size or
In class we discussed several portfolio strategies which seem to earn high returns without being
very risky eg size or small cap premium, momentum strategies Suppose you suspect that
companies with high asset growth an observable variable earn abnormal negative returns,
whereas companies with low asset growth earn abnormal positive returns. Describe the steps you
would undertake to test whether this strategy generates abnormal returns.
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