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Analysis of quantitative investment strategies - tax momemtum investing: tax surprises ss a predictor of stock returns
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 3.94 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Tax Surprise Momentum is an anomaly that can yield abnormal returns in the US market as
proven by Thomas and Zhang. This report carries on from this groundbreaking work and
applies it to the development of quantitative investment strategies, utilizing this signal as the
main component. Several strategies are tested using this market anomaly solely and
combining it with other anomalies with the intent of developing a reliable and robust strategy
capable of generating satisfactory adjusted returns and alphas under different market
scenarios and periods.
Descrição
Palavras-chave
Tax surprise Nasdaq Portfolio construction Tax momentum Volatility timing