You analyze the returns for stocks relative to the company logo. You find that the stocks of
Question:
You analyze the returns for stocks relative to the company logo. You find that the stocks of firms which change their in a given year tend to outperform in the following year the stocks of firms which don't change their logo
With how efficient market proponents have responded to observed anomalies in the past, what factor could you add to your model of expected returns to control for the potentially different risk exposures of companies based on changing the company logo.
A.) A factor based only on the returns companies that change their logos
B.) A factor based only on the returns companies that don't change their logos
C.) A factor based on the returns of the hedge portfolio that is long companies that change their logos and short companies that don't change their logos
Data Analysis and Decision Making
ISBN: 978-0538476126
4th edition
Authors: Christian Albright, Wayne Winston, Christopher Zappe