A look into the cross-section of industry stock returns

Detalhes bibliográficos
Autor(a) principal: Côrte-Real, Filipe José Correia
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9840
Resumo: 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
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spelling A look into the cross-section of industry stock returnsIndustry sizeIndustry concentrationRisk premiumThree-factor modelA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsAverage 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.NSBE - UNLSanta-Clara, PedroRUNCôrte-Real, Filipe José Correia2013-06-07T10:48:36Z2013-012013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9840enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:43:10Zoai:run.unl.pt:10362/9840Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:19:04.400681Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A look into the cross-section of industry stock returns
title A look into the cross-section of industry stock returns
spellingShingle A look into the cross-section of industry stock returns
Côrte-Real, Filipe José Correia
Industry size
Industry concentration
Risk premium
Three-factor model
title_short A look into the cross-section of industry stock returns
title_full A look into the cross-section of industry stock returns
title_fullStr A look into the cross-section of industry stock returns
title_full_unstemmed A look into the cross-section of industry stock returns
title_sort A look into the cross-section of industry stock returns
author Côrte-Real, Filipe José Correia
author_facet Côrte-Real, Filipe José Correia
author_role author
dc.contributor.none.fl_str_mv Santa-Clara, Pedro
RUN
dc.contributor.author.fl_str_mv Côrte-Real, Filipe José Correia
dc.subject.por.fl_str_mv Industry size
Industry concentration
Risk premium
Three-factor model
topic Industry size
Industry concentration
Risk premium
Three-factor model
description 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
publishDate 2013
dc.date.none.fl_str_mv 2013-06-07T10:48:36Z
2013-01
2013-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9840
url http://hdl.handle.net/10362/9840
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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