EDHEC: Size Rotation in the US Equity Market
It has for long been argued both in academia and in the asset management industry that equity markets are segmented or heterogeneous. That is, distinct segments or sub-markets exist within the overall market. Broadly speaking, segments comprise stocks with common characteristics. Beta, size, value, growth, quality, momentum, are some of the characteristics typically used to classify stocks in different segments.
Stocks from different segments realize different average risk-adjusted returns
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