"Portfolio Study or Return Prediction Study: That examines the possibility of earning superior risk-adjusted returns by trading on an observable characteristic of a firm like P/E ratio, dividend yield etc. • Define the variable (characteristic) on which firms will be classified • Classify firms into portfolios based upon the magnitude of the variable • Compute the returns for each portfolio • Calculate the excess returns for each portfolio • Assess whether the average excess returns are different across the portfolios. Source: http://in.docsity.com/en-docs/Testing_Market_Efficiency_-_Security_Analysis_and_Portfolio_Management_-_Solved_Quiz_"
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