Publicação
Exploiting value premium with a multi-metric approach in the United States stock market
| Resumo: | 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. |
|---|---|
| Autores principais: | Vasconcelos, Beatriz Carvalho de |
| Assunto: | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| 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 |
| _version_ | 1868983834661355520 |
|---|---|
| author | Vasconcelos, Beatriz Carvalho de |
| author_facet | Vasconcelos, Beatriz Carvalho de |
| author_role | author |
| contributor_name_str_mv | Hirschey, Nicholas H. RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Vasconcelos, Beatriz Carvalho de\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Hirschey, Nicholas H. RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Vasconcelos, Beatriz Carvalho de |
| datacite.date.Accepted.fl_str_mv | 2024-01-24T00:00:00Z |
| datacite.date.available.fl_str_mv | 2025-02-26T12:28:16Z |
| datacite.date.embargoed.fl_str_mv | 2025-02-26T12:28:16Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| datacite.titles.title.fl_str_mv | Exploiting value premium with a multi-metric approach in the United States stock market |
| dc.contributor.none.fl_str_mv | Hirschey, Nicholas H. RUN |
| dc.creator.none.fl_str_mv | Vasconcelos, Beatriz Carvalho de |
| dc.date.Accepted.fl_str_mv | 2024-01-24T00:00:00Z |
| dc.date.available.fl_str_mv | 2025-02-26T12:28:16Z |
| dc.date.embargoed.fl_str_mv | 2025-02-26T12:28:16Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/179856 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| dc.title.fl_str_mv | Exploiting value premium with a multi-metric approach in the United States stock market |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | 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. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/a712e2c1-621a-4042-8ae0-eebb9c47d49c/download |
| id | run_e7fb3db92ffb7c38f3422cb4e115178d |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/179856 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/179856 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Vasconcelos, Beatriz Carvalho de |
| publishDate | 2024 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTThe 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.application/pdfpt_PTExploiting value premium with a multi-metric approach in the United States stock marketVasconcelos, Beatriz Carvalho deHirschey, Nicholas H.HostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2038662822025-02-26T12:28:16Z2024-01-242023-12-202024-01-24T00:00:00ZHandlehttp://hdl.handle.net/10362/179856http://purl.org/coar/access_right/c_abf2open accessFinancial marketsPortfolio managementValue vs. growth investingValue premiumU.S. stock marketFundamental analysis1709394 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/a712e2c1-621a-4042-8ae0-eebb9c47d49c/download |
| spellingShingle | Exploiting value premium with a multi-metric approach in the United States stock market Vasconcelos, Beatriz Carvalho de Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| status | SINGLETON |
| subject.fl_str_mv | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| title | Exploiting value premium with a multi-metric approach in the United States stock market |
| title_full | Exploiting value premium with a multi-metric approach in the United States stock market |
| title_fullStr | Exploiting value premium with a multi-metric approach in the United States stock market |
| title_full_unstemmed | Exploiting value premium with a multi-metric approach in the United States stock market |
| title_short | Exploiting value premium with a multi-metric approach in the United States stock market |
| title_sort | Exploiting value premium with a multi-metric approach in the United States stock market |
| topic | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| topic_facet | Financial markets Portfolio management Value vs. growth investing Value premium U.S. stock market Fundamental analysis |
| url | http://hdl.handle.net/10362/179856 |
| visible | 1 |