Exploiting the Trend Lag of Small Stocks?
November 4, 2015 - Size Effect, Technical Trading
Do small capitalization stocks exploitably lag broad market trends? In their October 2015 paper entitled “Slow Trading and Stock Return Predictability”, Matthijs Lof and Matti Suominen investigate whether overall stock market trends predict variation in the size effect and therefore the performance of small capitalization exchange-traded funds (ETF). For size effect testing, they each year at the end… Keep Reading