CHAPTER 19: Discussion Questions and Problems
1. Differentiate the following terms/concepts:
a. Style peer groups and style investing
b. Style tilting and style rotation
c. Financial soundness and financial statements
d. Univariate and multivariate approaches
2. Describe how momentum can be refined by conditioning on the entire term
structure of interest rates in the manner of the Grinblatt and Moskowitz
regression model.
3. Describe how value investing can be refined by paying close attention to a
company’s financial statements.
4. What does the early evidence on the ability of behavioral investing to
enhance performance tell us?
In a recent study of this issue, the performance of 16 self-proclaimed or media-identified
capitalized on the value advantage.
5. What is an example of an anomaly that once reported in research studies has
attenuated? Is this positive or negative from the standpoint of market efficiency?