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The purpose of this study is to develop and evaluate a quantitative approach to S&P 500 sector weighting based on relative valuation measures for four factors: earnings, valuation, profitability, and safety or risk. The returns to the sectors based on relative valuation weights are compared to S&P 500 returns over the period 1999-2011 to determine if excess returns are generated.
Robert D. Dean
Primary Advisor's Department
Stander Symposium poster
Buse, Matthew J., "Research exercise: S&P Valuation Modeling: An Empirical Analysis 1999-2011" (2012). Stander Symposium Posters. 36.