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Factor analysis in the stock market - an application to statistical arbitrage
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| 336.43 KB | Adobe PDF |
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Resumo(s)
Although being very profitable in the past years, the contrarian strategy, that tries to
exploit the reversion of the stock prices after an overreaction of the new available
information, had decline in the past years. To boost the profitability of that specific
strategy, I tried to divide the assets of Eurostoxx 600 by some firm specific factors. The results of such improvement were not clear, since the new strategy beat the benchmark in some periods, but none systematically achieved better results in all the sample periods.
Descrição
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
Palavras-chave
Contrarian strategy Decline returns Improvements Trading costs