Dfa Case Analysis

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1. The strategy of DFA company was taking advantages of size effect (small companies outperform the market) and value effect (high book-to-market ratio companies outperform the market). So that they chose small-capital companies and high book value companies to create their portfolio. They primarily believed in efficient market as well as the sound academic researches and ability of skilled trader. They worked with the RIAs (registered investment advisors) to lower the cost. They ruled out those that did not match the efficient market theory, avoiding purchase stocks in the open market (use block trade) or near announcement date. These are the two examples of avoiding big price changes caused by large purchase or event risk. 2. DFA roughly believed in efficient market theory. They believed that the high return of small stocks and value stocks come from high risk which matched the efficient market theory. Moreover, they would not do any fundamental analysis of the firm in question. (p6) At the same time, however, they did some adjustments based on other two principles, sound academic researches and skilled traders, to get rid of those not matching the theory. For example, they did not purchase those stocks with inside trade information. 3. Block trade is a security trade in large quantity, sale or purchase, at a pre-arranged price between different parties outside the open markets to avoid any impacts to the big board. Block trade can be used by analysts to assess where institutional investors will price a stock. It is useful when trying to see at what prices a large quantity of stock are trading outside the market in a merger. 4. No. DFA believed in efficient market theory, which implied that the price had already reflected all of the market information. So it was not necessary to do fundamental analysis. In order to avoid adverse selection problems, DFA

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