Publicação
A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Anjos, Fernando | |
| dc.contributor.author | Fornaciari, Tommaso Elio | |
| dc.date.accessioned | 2017-12-05T10:56:21Z | |
| dc.date.available | 2017-12-05T10:56:21Z | |
| dc.date.issued | 2017-01-20 | |
| dc.description.abstract | The analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period. | pt_PT |
| dc.identifier.tid | 201716585 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/26194 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Momentum | pt_PT |
| dc.subject | Upside beta | pt_PT |
| dc.subject | Downside beta | pt_PT |
| dc.subject | Volatility | pt_PT |
| dc.title | A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection | 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 Finance from the NOVA – School of Business and Economics | pt_PT |