Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets

Detalhes bibliográficos
Autor(a) principal: Amini, Fatih Hassan
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/39226
Resumo: This paper examines if the value premium still exists when incorporating market-level and firm level conditions together. To evaluate my research, I have presented several tested portfolio strategies. I used two different measures to build these portfolios. On the market-level perspective, I have used the CAPE ratio with some adjustments, and on the firm-level perspective, I have used book-to-market with a slight adjustment. The zero-cost portfolios hold a long position on the cheapest markets value stocks and short sell the expensive markets growth stocks. The strategy can achieve above-average results regularly and beat the market. On the other hand, in times of crisis, the strategy performs poorly, but can still beat the market under the global financial crisis.
id RCAP_c63378f32069208806946c3cb8577db8
oai_identifier_str oai:repositorio.ucp.pt:10400.14/39226
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european marketsBook-to-marketCAPE ratioInflationLong-short strategyEuropeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper examines if the value premium still exists when incorporating market-level and firm level conditions together. To evaluate my research, I have presented several tested portfolio strategies. I used two different measures to build these portfolios. On the market-level perspective, I have used the CAPE ratio with some adjustments, and on the firm-level perspective, I have used book-to-market with a slight adjustment. The zero-cost portfolios hold a long position on the cheapest markets value stocks and short sell the expensive markets growth stocks. The strategy can achieve above-average results regularly and beat the market. On the other hand, in times of crisis, the strategy performs poorly, but can still beat the market under the global financial crisis.Esta Dissertação centra-se em investigar se existe um retorno positivo na estratégia de investimento que consiste na compra de ações value e venda a descoberto de ações de crescimento (growth), quando se incorpora na estratégia condições ao nível do mercado e da firma. Para avaliar minha pesquisa, apresento várias estratégias de investimento testadas. Foram utilizadas duas medidas diferentes para construir essas carteiras. Ao nível do mercado, utilizou-se o índice CAPE com alguns ajustes, e ao nível da firma utilizou-se o book-to-market com um pequeno ajuste. As carteiras de custo zero têm uma posição de compra nas ações de valor do mercado mais barato e uma posição de venda a descoberto de ações de crescimento do mercado mais caro. No entanto, a estratégia pode atingir resultados acima da média regularmente e superar o mercado. Além disso, em tempos de crise, a estratégia tem uma performance mais fraca mesmo com a posição de venda, mas ainda assim pode superar o mercado durante a crise financeira global.Barroso, PedroVeritati - Repositório Institucional da Universidade Católica PortuguesaAmini, Fatih Hassan2022-11-02T15:35:48Z2022-04-262022-042022-04-26T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/39226TID:203038070enginfo: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:RCAAP2023-07-12T17:44:43Zoai:repositorio.ucp.pt:10400.14/39226Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:32:03.847677Repositório 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 Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
title Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
spellingShingle Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
Amini, Fatih Hassan
Book-to-market
CAPE ratio
Inflation
Long-short strategy
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
title_full Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
title_fullStr Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
title_full_unstemmed Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
title_sort Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets
author Amini, Fatih Hassan
author_facet Amini, Fatih Hassan
author_role author
dc.contributor.none.fl_str_mv Barroso, Pedro
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Amini, Fatih Hassan
dc.subject.por.fl_str_mv Book-to-market
CAPE ratio
Inflation
Long-short strategy
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Book-to-market
CAPE ratio
Inflation
Long-short strategy
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper examines if the value premium still exists when incorporating market-level and firm level conditions together. To evaluate my research, I have presented several tested portfolio strategies. I used two different measures to build these portfolios. On the market-level perspective, I have used the CAPE ratio with some adjustments, and on the firm-level perspective, I have used book-to-market with a slight adjustment. The zero-cost portfolios hold a long position on the cheapest markets value stocks and short sell the expensive markets growth stocks. The strategy can achieve above-average results regularly and beat the market. On the other hand, in times of crisis, the strategy performs poorly, but can still beat the market under the global financial crisis.
publishDate 2022
dc.date.none.fl_str_mv 2022-11-02T15:35:48Z
2022-04-26
2022-04
2022-04-26T00:00:00Z
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/10400.14/39226
TID:203038070
url http://hdl.handle.net/10400.14/39226
identifier_str_mv TID:203038070
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.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
_version_ 1799132044553355264

Registros relacionados