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- 2011-7-11
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- 2013-8-17
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How are you going to test this?
I if you find anything, its not going to be statistically significat, the sample of recessions is too small. If you're willing to omit mid cap you can use "SmB" which is the returns of small minus big. Regress it agains changes in the overall market.
I would read cross section of market returns :1992 Fama & French if you havent already. Get on SSRN too |
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发表于 2011-10-13 14:37
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