Risk and Return to Value, Glamour and Contrarian Strategies

by

Table of Contents

DRAFT1

Topic1

Subtitle1

Data1

Format1

Statistics Test1

Progress of the report2

REFERENCES4

DRAFT

Topic

The topic on which this study will be conducted is Risk and Return to Value, Glamour and Contrarian Strategies.

Subtitle

The subtitle given to this particular study is Contrarian Investment and Risk Analysis.

Data

The data for this particular study has been taken from Data Stream. The figures based in the data are based on a total of 800 stocks of the UK region. Such a large amount of data will be really helpful for the researcher to conduct an authentic result to evaluate the risk and return to value, glamour and contrarian strategies.

Format

The format on which the data is put and evaluated on is Microsoft Excel. This particular software has been chosen by the researcher to calculate accurate and genuine results for the study.

Statistics Test

The test that will be used to evaluate the data for this particular study is the Ohlson model. The study is based on two main strategies that are from the Ohlson model strategy to the investment strategy of the book to Market. The Ohlson model strategy based on the UK needs a proper sort of clarity before being imposed. There is a strong relation between the value of the firm and the accounting figures of that particular firm. The model we employ builds on the approach taken in Dye (1985), Jung and Kwon (1988), and Penno (1997), amongst others.

In this study, the research will be based on a firm that exists and generates an uncertain payoff which comprises two independent normally distributed components, where has mean and variance 2ys, and has zero mean and variance 2us (Kwon, 2008, pp 146). There are five distinct periods. Realization of the firm's payoff occurs in the final period (period 4). Prior to the realisation of the final payoff, information is made available to the Market over three prior periods:

Period 3 is publicly reported to the Market. The researcher will interpret as y an earnings announcement

In period 2, the firm observes a signal, regarding with probability 1 and Decides whether to disclose this signal to the Market or not. If the firm chooses to disclose its information, it does so truthfully

In period 1, a further signal, about is made publicly available. The researcher will interpret an as an analyst earnings forecast.

Finally, period 0 will represent an ex ante period prior to any signals being made available to ...