Multiple Choice
Banz (1981) has evidenced a trading strategy in the USA that can earn risk-adjusted profits of around 20% by taking:
A) long positions in a portfolio of large firms and short positions in a portfolio of small firms
B) short positions in a portfolio of large firms and long positions in a portfolio of small firms
C) short positions in a portfolio of small firms and long positions in a portfolio of large firms
D) long positions in a portfolio of small firms and short positions in a portfolio of large firms
Correct Answer:
Verified
Correct Answer:
Verified
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