A fundamental approach to quantitative equity portfolio management
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/21468 |
Resumo: | The aim of the present paper is to determine the explanatory power of three fundamental factors in cross-sectional stock returns. In order to do so, these three factors were combined with the Carhart four factor model. Results revealed that from 2006 to 2015, the Size factor of Fama and French and the twelve month Momentum of Jegadeesh and Titman had no statistical power in explaining the cross-sectional stock returns. Conversely, the Value and Market Beta factors of Fama and French, and the fundamental factors EBITDA/Sales, CFO/Capex, Price/CFO have demonstrated to be all statistically significant in explaining the cross-sectional stock returns in the period in analysis. It was also found that portfolios constructed monthly, using a Long/Short strategy in which one buys the top quintile and sells the lowest quintile, are able to produce statistically significant abnormal returns, or alpha. The abnormal returns are determined using as control factors, or benchmark, the returns of the Fama and French three factor strategy in the European market. Furthermore, the Long/Short strategy is negatively and positively exposed to the Size portfolio and to the Value portfolio, respectively, of the Fama and French three factor model. |
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A fundamental approach to quantitative equity portfolio managementDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe aim of the present paper is to determine the explanatory power of three fundamental factors in cross-sectional stock returns. In order to do so, these three factors were combined with the Carhart four factor model. Results revealed that from 2006 to 2015, the Size factor of Fama and French and the twelve month Momentum of Jegadeesh and Titman had no statistical power in explaining the cross-sectional stock returns. Conversely, the Value and Market Beta factors of Fama and French, and the fundamental factors EBITDA/Sales, CFO/Capex, Price/CFO have demonstrated to be all statistically significant in explaining the cross-sectional stock returns in the period in analysis. It was also found that portfolios constructed monthly, using a Long/Short strategy in which one buys the top quintile and sells the lowest quintile, are able to produce statistically significant abnormal returns, or alpha. The abnormal returns are determined using as control factors, or benchmark, the returns of the Fama and French three factor strategy in the European market. Furthermore, the Long/Short strategy is negatively and positively exposed to the Size portfolio and to the Value portfolio, respectively, of the Fama and French three factor model.O objectivo da presente dissertação é determinar o poder explanatório de três factores fundamentais ao explicar os retornos cross-sectional de acções. Para tal, os três factores foram combinados com o modelo de quatro factores Carhart. Os resultados demonstraram que, de 2006 a 2015, o factor Size de Fama e French e o factor Momentum de 12 meses de Jegadeesh e Titman não foram estatisticamente significantes, a explicar os retornos das ações. Contrariamente, os factores Value e Market Beta de Fama e French, e os factores fundamentais, EBITDA/Sales, CFO/Capex, Price/CFO, demonstraram ser todos estatisticamente significantes a explicar os retornos cross-sectional das acções, no período em análise. Foi também concluído que, portfólios construídos mensalmente, usando uma estratégia Long/Short na qual se compra o melhor quintil e se vende o pior quintil, são capazes de produzir retornos anormais, ou alfa. Os retornos anormais são determinados usando como factores de controlo, ou referência, os retornos da estratégia de três factores de Fama e French para o mercado europeu. Para além disso, a estratégia de Long/Short é negativa e positivamente exposta ao portfólio de Size e ao portfólio de Value, respectivamente, do modelo de três factores de Fama e French.Guedes, José Filipe Garcia CorrêaVeritati - Repositório Institucional da Universidade Católica PortuguesaJesus, João Pedro Vilas Boas de2017-02-01T14:31:04Z2016-10-2720162016-10-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/21468TID:201283948enginfo: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:RCAAP2023-07-12T17:27:31Zoai:repositorio.ucp.pt:10400.14/21468Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:17:47.012161Repositório 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 fundamental approach to quantitative equity portfolio management |
title |
A fundamental approach to quantitative equity portfolio management |
spellingShingle |
A fundamental approach to quantitative equity portfolio management Jesus, João Pedro Vilas Boas de Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
A fundamental approach to quantitative equity portfolio management |
title_full |
A fundamental approach to quantitative equity portfolio management |
title_fullStr |
A fundamental approach to quantitative equity portfolio management |
title_full_unstemmed |
A fundamental approach to quantitative equity portfolio management |
title_sort |
A fundamental approach to quantitative equity portfolio management |
author |
Jesus, João Pedro Vilas Boas de |
author_facet |
Jesus, João Pedro Vilas Boas de |
author_role |
author |
dc.contributor.none.fl_str_mv |
Guedes, José Filipe Garcia Corrêa Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Jesus, João Pedro Vilas Boas de |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The aim of the present paper is to determine the explanatory power of three fundamental factors in cross-sectional stock returns. In order to do so, these three factors were combined with the Carhart four factor model. Results revealed that from 2006 to 2015, the Size factor of Fama and French and the twelve month Momentum of Jegadeesh and Titman had no statistical power in explaining the cross-sectional stock returns. Conversely, the Value and Market Beta factors of Fama and French, and the fundamental factors EBITDA/Sales, CFO/Capex, Price/CFO have demonstrated to be all statistically significant in explaining the cross-sectional stock returns in the period in analysis. It was also found that portfolios constructed monthly, using a Long/Short strategy in which one buys the top quintile and sells the lowest quintile, are able to produce statistically significant abnormal returns, or alpha. The abnormal returns are determined using as control factors, or benchmark, the returns of the Fama and French three factor strategy in the European market. Furthermore, the Long/Short strategy is negatively and positively exposed to the Size portfolio and to the Value portfolio, respectively, of the Fama and French three factor model. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-10-27 2016 2016-10-27T00:00:00Z 2017-02-01T14:31:04Z |
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/10400.14/21468 TID:201283948 |
url |
http://hdl.handle.net/10400.14/21468 |
identifier_str_mv |
TID:201283948 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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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 |
institution |
RCAAP |
reponame_str |
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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1799131866215743488 |