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Exploiting value premium with a multi-metric approach in the United States stock market
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| 1.63 MB | Adobe PDF |
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Resumo(s)
The purpose of this study is to analyze the performance and dynamics of varies investment
strategies. The individual part focuses on the analysis of U.S. stock market’s value stocks’
superior performance over growth stocks between January 1987 and December 2022. Value
(Growth) stocks are priced lower (higher) than the company’s fundamentals. A performance
and factor analysis were evaluated concluding that strategies sorted on EV/EBIT and Book-to Market delivered a positive value premium. In the group part, diverse strategies were combined
to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance to provide
valuable insights for investors seeking to optimize their portfolios.
Descrição
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Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis