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.
Recommended Citation
Lagvilava, Teo, "Application of Carhart four-factor model to the AAII-generated portfolios" (2014). Honors Theses. 865.
https://scholarship.richmond.edu/honors-theses/865