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Project: Analysis of asset returns and investment strategy.

01-OCT-96 – 30-SEP-99

The objective of the project is to analyse asset returns and the application to investment strategies. Based on the statistical properties of the returns a number of traditional and novel valuation models will be tested. By treating risk as a multidimensional concept, we attempt to construct multifactor models in order to explain the evolution of asset returns. We also try to measure the effect of firm-specific and macroeconomic events on the behavior of asset returns.