Author

Teo Lagvilava

Date of Award

2014

Document Type

Thesis

Degree Name

Bachelor of Arts

Department

Economics

First Advisor

Dr. Jerry Stevens

Abstract

American Association of Individual Investors (AAII) provides stock screens that follow the investment strategies of some of the most well-known investors. This paper uses Carhart’s Four Factor Model and adjusts returns for transactions costs to see whether these portfolios generate abnormal returns. I find that number of portfolios with excess returns significantly decreases under the restrictions of the four factor model and transaction costs assumptions. In addition, I find that a momentum is a statistically significant factor in explaining the returns of these portfolios. The results of this study suggest that markets are inefficient in the weakest form.

Included in

Economics Commons

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