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Exploiting value premium with a multi-metric approach in the United States stock market

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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

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