Publicação
Investor sentiment and volatility timing: evidence from European markets
| Resumo: | The purpose of this study is to analyze the performance and dynamics of several investment strategies. The individual part focuses on exploring the profitability of a cross-sectional long only trading strategy that explores return differences between sentiment-prone and sentiment insensitive stocks, using the VSTOXX as a sentiment indicator for the European stock market. The strategy consists of holding sentiment-prone stocks when the sentiment is good and sentiment insensitive stocks when sentiment is bad. In the group part, several strategies were combined to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance. The group report is presented first, followed by the individual contribution. |
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| Autores principais: | Centeno, João Pedro Morgado |
| Assunto: | Financial markets Quantitative investment strategy Investor sentiment Volatility timing European stock market |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | The purpose of this study is to analyze the performance and dynamics of several investment strategies. The individual part focuses on exploring the profitability of a cross-sectional long only trading strategy that explores return differences between sentiment-prone and sentiment insensitive stocks, using the VSTOXX as a sentiment indicator for the European stock market. The strategy consists of holding sentiment-prone stocks when the sentiment is good and sentiment insensitive stocks when sentiment is bad. In the group part, several strategies were combined to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance. The group report is presented first, followed by the individual contribution. |
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