Date of Award
Bachelor of Arts
Dr. Jerry Stevens
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.
Lagvilava, Teo, "Application of Carhart four-factor model to the AAII-generated portfolios" (2014). Honors Theses. 865.