Examine the time-series return pattern of these size premiums. Are there any specific periods in which the size premiums outperform or underperform? Based on the time-series return pattern, do you think market condition plays a role in explaining the return variation for the size premiums?
That is, the number in each cell indicates the monthly size premium for that particular country/region. You are also given the global market monthly premium named ‘Global Market’. 1) Calculate the time-series average returns and standard deviations to the size premiums across the six regions/countries. You should also consider the reward to risk ratios calculated […]