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Article

Size Rotation in the U.S. Equity Market

Keith L. Miller, Chee Ooi, Hong Li and Daniel Giamouridis
The Journal of Portfolio Management Winter 2013, 39 (2) 116-127; DOI: https://doi.org/10.3905/jpm.2013.39.2.116
Keith L. Miller
is managing director for Global Quantitative Research at Citigroup in New York, NY.
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  • For correspondence: keith.l.miller@citi.com
Chee Ooi
is a senior portfolio manager at State Street Global Advisors in Boston, MA.
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  • For correspondence: chee_ooi@SSgA.com
Hong Li
is managing director for Global Quantitative Research at Citigroup in New York, NY.
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  • For correspondence: hong.li@citi.com
Daniel Giamouridis
is an assistant professor in the Department of Accounting and Finance at Athens University of Economics and Business, Athens, Greece, a senior visiting fellow in the Faculty of Finance at Cass Business School, City University in London, U.K., and a research associate at EDHEC-Risk Institute in Nice, France.
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  • For correspondence: dgiamour@aueb.gr
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The Journal of Portfolio Management: 39 (2)
The Journal of Portfolio Management
Vol. 39, Issue 2
Winter 2013
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Size Rotation in the U.S. Equity Market
Keith L. Miller, Chee Ooi, Hong Li, Daniel Giamouridis
The Journal of Portfolio Management Jan 2013, 39 (2) 116-127; DOI: 10.3905/jpm.2013.39.2.116

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Size Rotation in the U.S. Equity Market
Keith L. Miller, Chee Ooi, Hong Li, Daniel Giamouridis
The Journal of Portfolio Management Jan 2013, 39 (2) 116-127; DOI: 10.3905/jpm.2013.39.2.116
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    • Abstract
    • MODEL DESCRIPTION
    • CLASSIFICATION DECISION TREE (DT) ANALYSIS
    • MULTIPLE REGRESSION ANALYSIS
    • EMPIRICAL ANALYSIS
    • CONCLUSION
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