Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets
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KeywordsPCA; Logit model; value/growth and small/large style rotation;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
- NEP-FIN-2006-07-15 (Finance)
- NEP-FMK-2006-07-15 (Financial Markets)
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