Publicação
NSP: performance enhancement through the improvement of investment decisions
| Resumo: | This paper aims to improve the stock-picking process within the NSP in order to enhance the overall performance of the portfolio. For that purpose, four investment models based on value, growth, and quality metrics were compared for the 2002-2015 window. Results showed that the inclusion of a quality component in simple value and growth models improves results. Besides, all models delivered a statistically significant abnormal excess return after controlling for factors included in three different asset pricing models such as the CAPM, the Fama and French five-factor model, and the Carhart four-factor model with a quality factor added to it. |
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| Autores principais: | Pires, João António Gaspar |
| Assunto: | Stock-picking Investment models Performance Abnormal excess return |
| Ano: | 2017 |
| 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: | This paper aims to improve the stock-picking process within the NSP in order to enhance the overall performance of the portfolio. For that purpose, four investment models based on value, growth, and quality metrics were compared for the 2002-2015 window. Results showed that the inclusion of a quality component in simple value and growth models improves results. Besides, all models delivered a statistically significant abnormal excess return after controlling for factors included in three different asset pricing models such as the CAPM, the Fama and French five-factor model, and the Carhart four-factor model with a quality factor added to it. |
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