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NSP: performance enhancement through the improvement of investment decisions
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Resumo(s)
This paper aims to improve the stock-picking process within the NSP in order to
enhance the overall performance of the portfolio. For that purpose, four investment models
based on value, growth, and quality metrics were compared for the 2002-2015 window. Results
showed that the inclusion of a quality component in simple value and growth models improves
results. Besides, all models delivered a statistically significant abnormal excess return after
controlling for factors included in three different asset pricing models such as the CAPM, the
Fama and French five-factor model, and the Carhart four-factor model with a quality factor
added to it.
Descrição
Palavras-chave
Stock-picking Investment models Performance Abnormal excess return