Publicação
Factor-based investing - insights from investing in the Euronext 100 index
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Schnell, Felix | |
| dc.date.accessioned | 2019-04-29T14:48:53Z | |
| dc.date.available | 2019-04-29T14:48:53Z | |
| dc.date.issued | 2019-01-24 | |
| dc.description.abstract | Within this work, performance of factor-based investing is assessed using the Euronext 100 index in the years from 2002 to 2018. First, single-factor portfolios are constructed using momentum, size, value, betting-against-beta and short-term reversals strategies. The performance of these portfolios is quite patchy. Only the momentum factor proofed itself successful in achieving abnormal returns with and without industry adjustments. Further, multi-factor portfolios are evaluated. The industry adjusted multi-factor portfolio performed really well especially when combined with the market portfolio. The portfolios based on regression-based return forecasts perform well with and without industry adjustments. Analog to the multi-factor model these good performances still benefit from combining these portfolios with the market. An investor would suffer from transaction costs if he traded on these strategies. To account for these costs an estimate is introduced based on the trading activity of the portfolios and the bidask spreads in the stock market. However, the performance correction based on these estimates does only harm the portfolios slightly and does not eliminate the usefulness of the portfolios. As a result, the paper concludes that factor-based long-short portfolios can serve as a nice tool for investors to increase their portfolio performance especially if combined with the market portfolio. | pt_PT |
| dc.identifier.tid | 202223523 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/67984 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Factor investing | pt_PT |
| dc.subject | Long-short portfolios | pt_PT |
| dc.subject | Return forecasting | pt_PT |
| dc.subject | Transaction cost estimate | pt_PT |
| dc.title | Factor-based investing - insights from investing in the Euronext 100 index | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics | pt_PT |