Investment Styles, Market Anomalies, and Global Stock Selection

The Research Foundation of the Institute of Chartered Financial Analysts, January 1999

30 Pages Posted: 7 Mar 2014 Last revised: 25 Mar 2015

Date Written: 1999

Abstract

For years, investment professionals have used stock factors, such as price-to-book ratio, to help make stock selection decisions. If a stock factor is associated with ex post risk-adjusted returns, it is said to be anomalous, and anomalous stock factors can often be profitably exploited. In this monograph, the author investigates factor-return relationships by looking at the rationales for their existence and by drawing on a database of global equity market data. The results of this analysis will comfort some readers while surprising others.

Suggested Citation

Michaud, Richard O., Investment Styles, Market Anomalies, and Global Stock Selection (1999). The Research Foundation of the Institute of Chartered Financial Analysts, January 1999, Available at SSRN: https://ssrn.com/abstract=2400615
No contact information is available for Richard O. Michaud

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
153
Abstract Views
619
Rank
349,232
PlumX Metrics