Decoding the quality factor: quality investing in emerging markets

Detalhes bibliográficos
Autor(a) principal: Ambrosius, Lorenz Paul
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142189
Resumo: This master thesis forms part of a series of papers seeking to provide academic guidance on practical issues encountered by BPI Gestão de Ativos(BPI GA)and test the effectiveness of quality investing strategies in emerging markets. By applying BPI GA’s quality strategy and equity screen to a predominantly Brazilian investment universe and running regression analysis using Fama French emerging market factors, it was confirmed that (1) BPI GA's quality investing strategy creates value in emerging markets, (2) the quality premium exists in Brazil, (3) the Brazilian market has a relative lyl ow number of quality companies, (4) BPI GA's quality strategy is sensitive to the size of the investment universe it is applied to and (5) quality equity screens perform markets. Thus, the final recommendation was to apply BPI GA’s quality investing strategy to a large investment universe spanning multiple emerging markets.
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spelling Decoding the quality factor: quality investing in emerging marketsFactor investingQuality investingEmerging markets equityBrazilian equity marketAsset managementDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis master thesis forms part of a series of papers seeking to provide academic guidance on practical issues encountered by BPI Gestão de Ativos(BPI GA)and test the effectiveness of quality investing strategies in emerging markets. By applying BPI GA’s quality strategy and equity screen to a predominantly Brazilian investment universe and running regression analysis using Fama French emerging market factors, it was confirmed that (1) BPI GA's quality investing strategy creates value in emerging markets, (2) the quality premium exists in Brazil, (3) the Brazilian market has a relative lyl ow number of quality companies, (4) BPI GA's quality strategy is sensitive to the size of the investment universe it is applied to and (5) quality equity screens perform markets. Thus, the final recommendation was to apply BPI GA’s quality investing strategy to a large investment universe spanning multiple emerging markets.Ottonello, GiorgioRUNAmbrosius, Lorenz Paul2022-01-122021-12-172025-12-17T00:00:00Z2022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142189TID:202997529enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:41Zoai:run.unl.pt:10362/142189Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:11.716290Repositório 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 Decoding the quality factor: quality investing in emerging markets
title Decoding the quality factor: quality investing in emerging markets
spellingShingle Decoding the quality factor: quality investing in emerging markets
Ambrosius, Lorenz Paul
Factor investing
Quality investing
Emerging markets equity
Brazilian equity market
Asset management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Decoding the quality factor: quality investing in emerging markets
title_full Decoding the quality factor: quality investing in emerging markets
title_fullStr Decoding the quality factor: quality investing in emerging markets
title_full_unstemmed Decoding the quality factor: quality investing in emerging markets
title_sort Decoding the quality factor: quality investing in emerging markets
author Ambrosius, Lorenz Paul
author_facet Ambrosius, Lorenz Paul
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
RUN
dc.contributor.author.fl_str_mv Ambrosius, Lorenz Paul
dc.subject.por.fl_str_mv Factor investing
Quality investing
Emerging markets equity
Brazilian equity market
Asset management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Factor investing
Quality investing
Emerging markets equity
Brazilian equity market
Asset management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This master thesis forms part of a series of papers seeking to provide academic guidance on practical issues encountered by BPI Gestão de Ativos(BPI GA)and test the effectiveness of quality investing strategies in emerging markets. By applying BPI GA’s quality strategy and equity screen to a predominantly Brazilian investment universe and running regression analysis using Fama French emerging market factors, it was confirmed that (1) BPI GA's quality investing strategy creates value in emerging markets, (2) the quality premium exists in Brazil, (3) the Brazilian market has a relative lyl ow number of quality companies, (4) BPI GA's quality strategy is sensitive to the size of the investment universe it is applied to and (5) quality equity screens perform markets. Thus, the final recommendation was to apply BPI GA’s quality investing strategy to a large investment universe spanning multiple emerging markets.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-12
2022-01-12T00:00:00Z
2025-12-17T00:00:00Z
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/10362/142189
TID:202997529
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identifier_str_mv TID:202997529
dc.language.iso.fl_str_mv eng
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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
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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
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