Financial Economics EC2206

Richard Stockton College Of New Jersey

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Exam (elaborations)

Financial Economics EC2206 Exams 2024-2025
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6

December 2024

2024/2025

A+
a. Suppose that you have returns at monthly frequency on a portfolio and compute the portfolio’s Sharpe ratio to 0.100 when using these returns. Assume that monthly returns are identically and independently distributed (i.i.d.). Compute the Sharpe ratio at quarterly frequency. (5 points) b. We watched a discussion between Eugene Fama and Richard Thaler. Fama mentions that one particular risk factor (among Small-Minus-Big, High-Minus-Low, and Momentum) is particularly hard to reconcile wit...
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