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Advisor(s)
Abstract(s)
Os meados da década de 90 e início do século XXI da fashion industry caracterizaram-se por diversas mudanças, as quais foram potencializadas pela crise financeira de 2008, e conduziram as empresas a repensar os seus modelos de negócio. Assim, seria expectável que a fashion industry estivesse a enfrentar um período negativo e que o mesmo se refletisse no mercado financeiro. No entanto, na realidade a fashion industry tem registado resultados bastante positivos, tendo batido os índices de mercado S&P500 e MSCI world desde 2008 (McKinsey&Company, 2018). Neste sentido, a presente dissertação tem como intuito analisar: (i) o possível registo de retornos anormais de um portefólio da fashion industry nos Estados Unidos da América (“EUA”) no período entre 1997 e 2018 e (ii) a tendência de evolução dos possíveis retornos anormais através da análise de dois subperíodos (1997-2007 e 2008-2018). Numa primeira fase, através da base de dados DataStream, construiu-se um portefólio da fashion industry constituído por 80 títulos dos EUA. Numa segunda fase, selecionou-se o modelo mais adequado para o portefólio em análise: o modelo de Carhart (1997). Os resultados obtidos para o portefólio equal-weighted permitem concluir que: (i) o período de 1997 a 2018 registou retornos anormais e (ii) que existe uma tendência positiva desses retornos. Em contraste, os resultados obtidos para o portefólio value-weighted permitem concluir que: (i) o período de 1997 a 2018 não registou retornos anormais e (ii) que existe uma tendência de manutenção desses retornos nos dois subperíodos.
The mid-90s and beginning of 21st century of the fashion industry may have been characterized by several changes, which were potentialized by the financial crisis of 2008, and lead the companies to redesign their business models. Considering the above-mentioned vicissitudes, it would have been expectable that the fashion industry faced a negative period and that such period would be reflected in the financial markets. However, in fact the fashion industry has exhibited good results through the last years, beating the S&P500 and MSCI world market indexes since 2008 (McKinsey&Company, 2018). In this regard, this thesis aims to answer the following two questions related to: (i) the possible generation of abnormal returns by the United States fashion industry portfolio between 1997 and 2018 and (ii) the trend of such abnormal returns by analyzing two subperiods (1997-2007 and 2008-2018). In a first phase, through DataStream database, a United States fashion industry portfolio of 80 securities was constructed. In a second phase, one selected the most appropriate model for the portfolio under analysis: Carhart model (1997). The results for the equal-weighted portfolio lead to the following conclusions: (i) between 1997 and 2018 abnormal returns were generated and (ii) that there is a positive tendency of such returns. In contrast, the results for the value-weighted portfolio lead to the following conclusions: (i) between 1997 and 2018 no abnormal returns were registered and (ii) that there is a tendency to maintain such returns in the two subperiods.
The mid-90s and beginning of 21st century of the fashion industry may have been characterized by several changes, which were potentialized by the financial crisis of 2008, and lead the companies to redesign their business models. Considering the above-mentioned vicissitudes, it would have been expectable that the fashion industry faced a negative period and that such period would be reflected in the financial markets. However, in fact the fashion industry has exhibited good results through the last years, beating the S&P500 and MSCI world market indexes since 2008 (McKinsey&Company, 2018). In this regard, this thesis aims to answer the following two questions related to: (i) the possible generation of abnormal returns by the United States fashion industry portfolio between 1997 and 2018 and (ii) the trend of such abnormal returns by analyzing two subperiods (1997-2007 and 2008-2018). In a first phase, through DataStream database, a United States fashion industry portfolio of 80 securities was constructed. In a second phase, one selected the most appropriate model for the portfolio under analysis: Carhart model (1997). The results for the equal-weighted portfolio lead to the following conclusions: (i) between 1997 and 2018 abnormal returns were generated and (ii) that there is a positive tendency of such returns. In contrast, the results for the value-weighted portfolio lead to the following conclusions: (i) between 1997 and 2018 no abnormal returns were registered and (ii) that there is a tendency to maintain such returns in the two subperiods.
Description
Keywords
Retorno anormal Fashion industry Estados Unidos da América Abnormal return United States of America