Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10362/179856| Título: | Exploiting value premium with a multi-metric approach in the United States stock market |
| Autor: | Vasconcelos, Beatriz Carvalho de |
| Orientador: | Hirschey, Nicholas |
| Palavras-chave: | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| Data de Defesa: | 24-Jan-2024 |
| Resumo: | 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. |
| URI: | http://hdl.handle.net/10362/179856 |
| Designação: | 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 |
| Aparece nas colecções: | NSBE: Nova SBE - MA Dissertations |
Ficheiros deste registo:
| Ficheiro | Descrição | Tamanho | Formato | |
|---|---|---|---|---|
| WP_Beatriz_Vasconcelos_53139.pdf | 1,67 MB | Adobe PDF | Ver/Abrir |
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