Question: b. Now form stock groups that use two criteria Simultaneously. For example, form a portfolio of stocks that are both in the lowest quintile of
b. Now form stock groups that use two criteria Simultaneously. For example, form a portfolio of stocks that are both in the lowest quintile of price-earnings ratio and in the highest quintile of book-to-market ratio. Does selecting stocks based on more than one characteristic improve your ability to devise portfolios with abnormal returns? Repeat the analysis by forming groups that meet three criteria simultaneously. Does this yield any further improvement in abnormal returns?
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