A look into the cross-section of industry stock returns
Autor(a) principal: | |
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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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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 |
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reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137835087822848 |