Publicação
Investor sentiment and volatility timing: evidence from European markets
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Hirschey, Nicholas H. | |
| dc.contributor.author | Centeno, João Pedro Morgado | |
| dc.date.accessioned | 2024-12-10T14:37:18Z | |
| dc.date.available | 2024-12-10T14:37:18Z | |
| dc.date.issued | 2024-01-24 | |
| dc.date.submitted | 2023-12-19 | |
| dc.description.abstract | The purpose of this study is to analyze the performance and dynamics of several investment strategies. The individual part focuses on exploring the profitability of a cross-sectional long only trading strategy that explores return differences between sentiment-prone and sentiment insensitive stocks, using the VSTOXX as a sentiment indicator for the European stock market. The strategy consists of holding sentiment-prone stocks when the sentiment is good and sentiment insensitive stocks when sentiment is bad. In the group part, several strategies were combined to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance. The group report is presented first, followed by the individual contribution. | pt_PT |
| dc.identifier.tid | 203681436 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/176334 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Financial markets | pt_PT |
| dc.subject | Quantitative investment strategy | pt_PT |
| dc.subject | Investor sentiment | pt_PT |
| dc.subject | Volatility timing | pt_PT |
| dc.subject | European stock market | pt_PT |
| dc.title | Investor sentiment and volatility timing: evidence from European markets | 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 Master’s degree in Finance from the Nova School of Business and Economics | pt_PT |