Autor(es): Vasconcelos, Beatriz Carvalho de
Data: 2024
Identificador Persistente: http://hdl.handle.net/10362/179856
Origem: Repositório Institucional da UNL
Assunto(s): Financial markets; Portfolio management; Value vs. growth investing; Value premium; U.S. stock market; Fundamental analysis
The purpose of this study is to analyze the performance and dynamics of varies investment strategies. The individual part focuses on the analysis of U.S. stock market’s value stocks’ superior performance over growth stocks between January 1987 and December 2022. Value (Growth) stocks are priced lower (higher) than the company’s fundamentals. A performance and factor analysis were evaluated concluding that strategies sorted on EV/EBIT and Book-to Market delivered a positive value premium. In the group part, diverse strategies were combined to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance to provide valuable insights for investors seeking to optimize their portfolios.
