Abstract:
This study explored the turn-of-the-year and portfolio-rebalancing effect in emerging markets by forming twenty equally weighted portfolios ranked by market equity and firm’s risk. The medium-size firm quintile was the least risky and was strongly positively significant in risk-return relationship. Moreover, even in those Januaries for which the market return was negative, small firm returns were positive and they were more positive the lower the beta. However, there is no supportive evidence that portfolio-rebalancing effect occurs during the period.
D. Amatyakul and P. Chintrakarn, 2012. Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets. Journal of Applied Sciences, 12: 761-767.
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