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EXCESS RETURNS OF DISCIPLINED VALUE INVESTORS: A CASE AGAINST MARKET EFFICIENCY

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Material Information

Title:
EXCESS RETURNS OF DISCIPLINED VALUE INVESTORS: A CASE AGAINST MARKET EFFICIENCY
Physical Description:
Book
Language:
English
Creator:
Stevenson, Matthew
Publisher:
New College of Florida
Place of Publication:
Sarasota, Fla.
Publication Date:

Thesis/Dissertation Information

Degree:
Bachelor's ( B.A.)
Degree Grantor:
New College of Florida
Degree Divisions:
Social Sciences, Natural Sciences
Area of Concentration:
Mathematics, Economics
Faculty Sponsor:
Khemraj, Tarron
Lee, Travis

Subjects

Genre:
bibliography   ( marcgt )
theses   ( marcgt )
government publication (state, provincial, territorial, dependent)   ( marcgt )
born-digital   ( sobekcm )
Electronic Thesis or Dissertation

Notes

Abstract:
This thesis examines the performance of a preselected group of disciplined value-oriented mutual funds over the period 2003-2012. We compare the returns of these funds with those of the S&P 500 over the same period using regressions of both the CAPM and a two-factor model incorporating a covariant for the observed value premium. Our results find that disciplined value-oriented funds generate superior risk-adjusted returns both before and after fees. We also study the discrepancy between the performance of disciplined value-oriented funds and the performance of the broader universe of mutual funds by considering raw (non-risk adjusted) outperformance versus underperformance as a Bernoulli process with parameters given by performance of the universe of mutual funds relative to the S&P 500. Our results suggest that disciplined value-oriented funds outperform the market much more consistently than the average mutual fund.
Statement of Responsibility:
by Matthew Stevenson
Thesis:
Thesis (B.A.) -- New College of Florida, 2014
General Note:
RESTRICTED TO NCF STUDENTS, STAFF, FACULTY, AND ON-CAMPUS USE
Bibliography:
Includes bibliographical references.
General Note:
This bibliographic record is available under the Creative Commons CC0 public domain dedication. The New College of Florida Libraries, as creator of this bibliographic record, has waived all rights to it worldwide under copyright law, including all related and neighboring rights, to the extent allowed by law.
General Note:
Faculty Sponsor: Khemraj, Tarron; Lee, Travis

Record Information

Source Institution:
New College of Florida
Holding Location:
New College of Florida
Rights Management:
Applicable rights reserved.
Resource Identifier:
Classification:
S.T. 2014 S748
System ID:
AA00024818:00001

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