Panel data approaches to European stock selection

  • Nijman, Theo (Tutor)
  • Swinkels, L.A.P., (Researcher)
  • Verbeek, M.J.C.M., (Tutor)

    Project: Research project

    Description

    The aim of the project is to evaluate the validity and relevance for the ABP of the results that have been obtained for the USA and to investigate to what extent similar results hold for European portfolios.

    The project will consider the following issues:
    - relevance of regression techniques
    - relevance of individual fund, sector, counttry and time effects
    - the correct assessment of risks associated with the various selection strategies
    - measurement errors
    - alternative indicators of expected returns/factor models
    - the impact of transition costs
    - stock selection for non-mean variance investors
    Short titlePanel data approaches to European stock selection
    StatusFinished
    Effective start/end date1/06/991/06/03