Cycles and Size: Long Term Valuation and Investment Performance

  • Chan, Howard (Primary Chief Investigator (PCI))
  • Faff, Robert (Chief Investigator (CI))
  • Kofman, Paul (Chief Investigator (CI))

Project: Research

Project Details

Project Description

This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in this sizable market segment offers significant opportunities for linkage research. This project will focus on the valuation, (il)liquidity, and macroeconomic sources of momentum profits as they related to the economic cycle, across the size spectrum.
Effective start/end date1/01/0531/12/07


  • Australian Research Council (ARC): A$110,406.00
  • Acorn Capital Ltd: A$45,000.00
  • University of Melbourne