Publication
Enhancement of value strategies using the profitability premium
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Cooper, Ilan | |
| dc.contributor.author | Brockmann, Lukas Vincent | |
| dc.date.accessioned | 2018-12-11T10:16:56Z | |
| dc.date.available | 2018-12-11T10:16:56Z | |
| dc.date.issued | 2017-10-18 | |
| dc.description.abstract | The profitability premium can enhance value strategies. The anomaly is still significant after adding a profitability- (RMW) and investment (CMA) factor to the (Fama & French, 1993, 2015) three factor regression. A combination of the four anomalies-- Book-to-Market Equity, Operating Cashflow, Gross Profit and Operating Profit-- in a Mean Variance Portfolio achieves significant out of sample returns compared to the market and other anomaly portfolios. This simple strategy realizes an annualized Sharpe ratio of 1.30 between July 1966 to June 2016 and is even significant after transaction costs. In addition, after implementing mutual fund restrictions (no short selling, minimum market capitalization) it still earns a significant monthly Alpha of 0.22% and is therefore suitable for retail- and institutional investors. | pt_PT |
| dc.description.abstract | O Profitability Premium pode aumentar as value strategies. A anomalia é significante mesmo após adicionar factores de profitabilidade (RMW) e investimento (CMA) à regressão de 3 factores (Fama & French, 1993, 2015). Uma combinação das quatro anomalias-- Book-to-Maket Equity, Operating Cashflow, Gross Profit e Operating Profit-- num Mean Variance Portfolio alcança retornos significantes fora da amostra quando comparado com o Mercado e outros portfolios baseados em anomalias. Esta simples estratégia atinge um Sharpe Ratio anualizado de 1.30 entre Julho de 1996 e Junho de 2016, continuando significante após os custos de transacção. Além disso, após implementar as restrições dos mutual funds (proibição de short selling, capitalização minima) ainda alcança um Alpha mensal de 0.22% e é portanto adequado a investidores de retalho e institucionais. | pt_PT |
| dc.identifier.tid | 201748975 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/26322 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Enhancement | |
| dc.subject | Value | |
| dc.subject | Strategies | |
| dc.subject | Profitability premium | |
| dc.title | Enhancement of value strategies using the profitability premium | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças | pt_PT |
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