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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 small cap premium, momentum strategies).

image text in transcribed In class we discussed several portfolio strategies which seem to earn high returns without being very risky (e.g., 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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