Iberian alpha - infrastructure industry analysis

Detalhes bibliográficos
Autor(a) principal: Guimarães, José Maria Farrajota Caldeira
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/10362/143102
Resumo: Convinced that financial markets can comprehensively capture firm-specific and macroeconomic variables that affect securities' risk profiles and stock returns, investors have increasingly relied on factor investing models. However, the analysis of Fama-French's five factors plus Carhart's momentum premium proves that such broadly adopted models are not yet able to adequately explain the variation in average returns of Iberian infrastructure companies operating under concession regimes. Hence, the analysis of A en a and Ferrovial's historical stock performance suggests that practitioners might benefit from integrating infrastructure-specific investment strategies, without disregarding the role that environmental, social and governance practices can play in security valuation.
id RCAP_c93d6a7b0e48a003e8dd162f6edda8bd
oai_identifier_str oai:run.unl.pt:10362/143102
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Iberian alpha - infrastructure industry analysisInfrastructureConcessionsFactor investingEsg integrationFerrovialAenaDomínio/Área Científica::Ciências Sociais::Economia e GestãoConvinced that financial markets can comprehensively capture firm-specific and macroeconomic variables that affect securities' risk profiles and stock returns, investors have increasingly relied on factor investing models. However, the analysis of Fama-French's five factors plus Carhart's momentum premium proves that such broadly adopted models are not yet able to adequately explain the variation in average returns of Iberian infrastructure companies operating under concession regimes. Hence, the analysis of A en a and Ferrovial's historical stock performance suggests that practitioners might benefit from integrating infrastructure-specific investment strategies, without disregarding the role that environmental, social and governance practices can play in security valuation.Rizzo, EmanueleRUNGuimarães, José Maria Farrajota Caldeira2021-01-202021-01-102025-01-10T00:00:00Z2021-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/143102TID:202792978enginfo: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:RCAAP2024-03-11T05:21:12Zoai:run.unl.pt:10362/143102Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:42.526881Repositório 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 Iberian alpha - infrastructure industry analysis
title Iberian alpha - infrastructure industry analysis
spellingShingle Iberian alpha - infrastructure industry analysis
Guimarães, José Maria Farrajota Caldeira
Infrastructure
Concessions
Factor investing
Esg integration
Ferrovial
Aena
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Iberian alpha - infrastructure industry analysis
title_full Iberian alpha - infrastructure industry analysis
title_fullStr Iberian alpha - infrastructure industry analysis
title_full_unstemmed Iberian alpha - infrastructure industry analysis
title_sort Iberian alpha - infrastructure industry analysis
author Guimarães, José Maria Farrajota Caldeira
author_facet Guimarães, José Maria Farrajota Caldeira
author_role author
dc.contributor.none.fl_str_mv Rizzo, Emanuele
RUN
dc.contributor.author.fl_str_mv Guimarães, José Maria Farrajota Caldeira
dc.subject.por.fl_str_mv Infrastructure
Concessions
Factor investing
Esg integration
Ferrovial
Aena
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Infrastructure
Concessions
Factor investing
Esg integration
Ferrovial
Aena
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Convinced that financial markets can comprehensively capture firm-specific and macroeconomic variables that affect securities' risk profiles and stock returns, investors have increasingly relied on factor investing models. However, the analysis of Fama-French's five factors plus Carhart's momentum premium proves that such broadly adopted models are not yet able to adequately explain the variation in average returns of Iberian infrastructure companies operating under concession regimes. Hence, the analysis of A en a and Ferrovial's historical stock performance suggests that practitioners might benefit from integrating infrastructure-specific investment strategies, without disregarding the role that environmental, social and governance practices can play in security valuation.
publishDate 2021
dc.date.none.fl_str_mv 2021-01-20
2021-01-10
2021-01-20T00:00:00Z
2025-01-10T00:00:00Z
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/10362/143102
TID:202792978
url http://hdl.handle.net/10362/143102
identifier_str_mv TID:202792978
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
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_ 1799138103280009216

Registros relacionados