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A look into the cross-section of industry stock returns
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Orientador(es)
Resumo(s)
Average stock returns on industry portfolios are related to industry total market equity and industry market equity concentration. Small industries outperform large industries marginally, while high-concentration industries outperform low-concentration industries significantly. The industry concentration premium persists after controlling for firm size and book-to-market equity ratio. A three-factor model using risk factors associated to industry size and industry concentration compares well to the Fama-French three-factor model, capturing return variation of portfolios formed on industry size, concentration, book-to-market equity, debt-to-equity, dividend-to-price, and earnings-to-price. My results are consistent with traditional economic theory and industry strategic analysis.
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
Industry size Industry concentration Risk premium Three-factor model