Breadcrumb

 
 

Are Canadian small cap stocks a separate asset class? : a mean-variance spanning approach

Title:

Are Canadian small cap stocks a separate asset class? : a mean-variance spanning approach

Scott, Iain (2006) Are Canadian small cap stocks a separate asset class? : a mean-variance spanning approach. Masters thesis, Concordia University.

[img]
Preview
PDF - Accepted Version
2101Kb

Abstract

This paper introduces size based indices of Canadian markets using all firms listed on the Toronto Stock Exchange from December 31, 1969 to December 31, 2004 to assess the extent to which small-cap portfolios can enlarge the efficient frontier for investors. Both traditional and step-down spanning tests are performed. Furthermore, we evaluate the economic impact of adding Canadian small cap stocks by measuring the changes in the global minimum variance frontier and improvement in the Sharpe Ratio of the optimal portfolio. Canadian small-cap (as well as micro-cap) portfolios are shown to behave as separate classes, with performance enhancing effects for the entire period as well as various subperiods examined. The results are robust to the inclusion of alternative international indices to the benchmark portfolios, and policy constraints do not necessarily reduce the benefits from diversification.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Scott, Iain
Pagination:vii, 64 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc. Admin.
Program:John Molson School of Business
Date:2006
Thesis Supervisor(s):Switzer, Lorne
ID Code:9107
Deposited By:Concordia University Libraries
Deposited On:18 Aug 2011 14:44
Last Modified:18 Aug 2011 14:52
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Document Downloads

More statistics for this item...

Concordia University - Footer