Case Analysis: Dimensional Fund Advisors 1. Describe the philosophy of DFA. What sort of market behavior are they counting on? * DFA believes in three principles: 1. The Efficient Market Theory. That is, the stock market is efficient and no one has the ability to consistently pick stocks that will beat the market. Over any given period, some lucky investors will outperform the market while others will underperform. DFA felt that the market price of any firm’s stock incorporated all
Words: 1953 - Pages: 8
Economics ISSN 1450-2887 Issue 30 (2009) © EuroJournals Publishing, Inc. 2009 http://www.eurojournals.com/finance.htm Fundamental Analysis Strategy and the Prediction of Stock Returns Jaouida Elleuch* Faculty of Economics and management sciences (FSEG), University of Sfax, Tunisia E-mail: Elleuchj@yahoo.fr Abstract This paper examines whether a simple fundamental analysis strategy based on historical accounting information can predict stock returns. The paper’s goal is to show that simple screens based
Words: 7445 - Pages: 30
Portfolio Analytics 1. Introduction: To analyze our portfolio and determine its exposure to risk factors, we assumed that: Rit+1=a+bi,1F1t+bi,2F2t+…+bi,nFnt+eit+1 First, we calculated z-score for logarithm of b_p and logarithm of cap to determine sensitivities for stock-specific factors. After we got all 13 sensitivities, we did a weighted regression of the 13 sensitivities against the 1000 stock’s forward return in 60 periods, respectively. For each period, we got 13 coefficients
Words: 1386 - Pages: 6
FIN560 Final Exam Study Guide YOU MAY WANT TO PRINT THIS GUIDE. 1. The Final Exam is open book and open notes. The maximum time you can spend in the exam is 3 hours and 30 minutes. If you have not clicked the Submit for Grading button by then, you will be automatically exited from the exam. In the Final Exam environment, the Windows clipboard is disabled, so you will not be able to copy exam questions or answers to or from other applications. 2. You should click the Save Answers button in the
Words: 1560 - Pages: 7
invest in the share market fall into three general categories including technical analysis, fundamental analysis, or a buy-and-hold strategy. The fundamental analysis approach is primarily concerned with value; it examines factors that determine a company's expected future earnings and dividends as well as the continued dependability of those earnings and dividends (McDonald 2007, 100). The investor who uses technical analysis attempts to predict the future price of a stock or the future direction of the
Words: 21981 - Pages: 88
Investigating Momentum on the Johannesburg Stock Exchange December 1 2010 Hendrik Snyman 14422425 A dissertation submitted in partial fulfilment of the requirements for the degree of Master of Science in Engineering (Management) Department of Industrial Engineering University of Stellenbosch An oil prospector had died and gone to heaven. At the gate, he is met by St Peter.‘Well, I checked you out and you meet all of the qualifications. But there’s one problem,’ He said. ‘We have some
Words: 14511 - Pages: 59
Chapter 16: Market efficiency: Concept of market efficiency An efficient market has been defined as one in which the prices of securities fully reflect all available information. This requires that the reaction of the market prices to new information should be instantaneous and unbiased. If such conditions exist, it will not be possible (except by chance) to employ either past information or a mechanical trading strategy to generate returns in excess of the returns warranted by the level of
Words: 3343 - Pages: 14
Share index. You need to split your investment 50:50 between two portfolios of shares, one where you selected the shares by technical analysis and the other by fundamental analysis. Your aim is to beat the market with both portfolios. It is important you can demonstrate that you know the difference between these methods. You need to compare and contrast the two portfolios and you need to make explicit reference to EMH in your analysis. Assignment Requirements You are given a notional SGD100,000 to
Words: 603 - Pages: 3
EFB335 Tutorial Two Solutions 1. There are several reasons why one would expect capital markets to be efficient, the foremost being that there are a large number of independent, profit-maximizing investors engaged in the analysis and valuation of securities. A second assumption is that new information comes to the market in a random fashion. The third assumption is that the numerous profit-maximizing investors will adjust security prices rapidly to reflect this new information. Thus, price changes
Words: 2185 - Pages: 9
SECURITIES ANALYSIS AND PORTFOLIO MANAGEMENT Centre Name: M S Ramaiah School of Advanced Studies Course Name: MBA in Finance and Accounting Name of the Student : Biju Govind M Student Registration No : HMB0909008 Module Leader at MSRSAS : Prof. Uday Kumar Jagannathan FULL TIME 2009 BATCH M. S. Ramaiah School of Advanced Studies New BEL Road, Gnanagangothri Campus, MSR Nagar, Bangalore-560 054 Tel: 23605539 / 23601983 / 2360 4759. Fax: 2360 1923 website: http://www.msrsas
Words: 5372 - Pages: 22
