Publicação
The relevance of the quality in the German stock market
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Faias, José Afonso de Carvalho Tavares | |
| dc.contributor.author | Buono, Sonia | |
| dc.date.accessioned | 2024-07-26T10:10:04Z | |
| dc.date.available | 2024-07-26T10:10:04Z | |
| dc.date.issued | 2020-10-15 | |
| dc.date.submitted | 2020 | |
| dc.description.abstract | I develop a strategy that combines 13 measures of stock’s quality for the German stock market. This ALL-IN strategy is an average of 13 individual long-short strategies, which in the period between 2005 and 2018 resulted in a Shape ratio of 2.18. This is twice as high than the one by any of the 13 individual strategies, four times as high as the standard Quality minus Junk strategy, and contrasts sharply to a stock market Sharpe ratio of 0.40. ALL-IN has limited negative returns and consistent performance through time. Several robustness checks are performed and it is shown that common factors from a 5 Fama-French factor model do not explain the performance of the strategy. Additionally, the performance is derived mostly from small but not penny stocks. | pt_PT |
| dc.identifier.tid | 202531481 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/45883 | |
| dc.language.iso | eng | pt_PT |
| dc.title | The relevance of the quality in the German stock market | 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 Economia | pt_PT |