Publicação
Using the altman z-score to optimize value investing strategies: an empirical analysis
| Resumo: | This thesis investigates whether value strategies in the S&P500 can be improved by filtering out potentially distressed stocks. For this purpose, various value signals are combined with the Altman Z-Score, a widely used insolvency forecasting method. Through an empirical analysis of in-sample and out-of-sample data, this paper shows that while combinations of enterprise multiples and the Z-Score yield the highest risk-adjusted returns in the in-sample period, these strategies cannot outperform the market or corresponding value-only strategies in the out-of sample period. The hypothesis that strategies with the Z-Score as a safety filter can outperform classical value strategies thus cannot be proven. |
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| Autores principais: | Henß, Max Mika |
| Assunto: | Quantitative investing Financial markets Factor investing Value investing Quality investing Altman z-score |
| Ano: | 2023 |
| 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 thesis investigates whether value strategies in the S&P500 can be improved by filtering out potentially distressed stocks. For this purpose, various value signals are combined with the Altman Z-Score, a widely used insolvency forecasting method. Through an empirical analysis of in-sample and out-of-sample data, this paper shows that while combinations of enterprise multiples and the Z-Score yield the highest risk-adjusted returns in the in-sample period, these strategies cannot outperform the market or corresponding value-only strategies in the out-of sample period. The hypothesis that strategies with the Z-Score as a safety filter can outperform classical value strategies thus cannot be proven. |
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