[Statlist] Statistics Seminar, 12 April 2011 at 15h15

[Schaffner Portillo Maroussia]

STATISTICS SEMINAR

Tuesday, 12 April 2011 - 15h15

Room CM 1113, EPFL

Prof. Catalin Starica
Université de Neuchâtel

will be speaking on :


The Facts Behind Sector Rotation



Abstract:
The conventional view of sector rotation represents the belief that investing in certain sectors at different stages of the business cycle can deliver superior returns relative to a purely passive strategy. The preferred sectors through the various stages of the business cycle are illustrated by the following diagram<http://smat.epfl.ch/seminar/CatalinStarica_AbstractImage.png>. In this talk we take a close look at the econometric facts behind this conventional view. While we do not test whether actual sector rotation works, we test the fundamental assumptions underlying sector rotation.
Do sector returns differ significantly across the business cycle?


Best regards.



Maroussia Schaffner Portillo

EPFL-SB-SMAT

Phone: 37922

 http://smat.epfl.ch/seminar/seminar.php


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