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Mémoire (Methodology (Shumway 1997 (Reduce survivor bias, Inclusion of…
Mémoire
Methodology
Shumway 1997
Reduce survivor bias
Inclusion of delisting return
Controls
Size
Data information
WRDS
CRSP
Fama-French and liquidity factor
Stocks
Daily and monthly
10434 observations
January 2000 to december 2015 (16 years)
LIterature
Financial asset valuation
CAPM
Systemic risk vs non systemic risk
Market return and market beta
Sharpe (Lintner, Treynor et Mossin)
Sharpe Ratio
3 factors model
Explain SMB and HML
Fama-French 1993
Extensions
Momentum
Carhart 1997
Liquidity
Pástor et Stambaugh 2003
Mean - Variance
Harry Markowitz
Efficient border
Tangent portfolio
Sharpe Ratio
Idiosyncratic risk
Ang 2006
Negative effect
Especially at high volatility
Goyal 2003
Positive effect
Flawed approch
Green 1997
Positive Effect
Specific example not applicable to stock market
Malkiel 2002
Positive effect
Reasoning
Barinov 2008
Negative effect
Hedge explanation especially for growth stocks
Hou 2016
Review of a large array of explanations
Negative effect
Evaluate portion of the puzzle eplained
Results
Conclusion