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http://hdl.handle.net/11531/19264
Título : | Factor Investing: A stock Selection system for The European Equity Market |
Autor : | Figuerola Ferretti Garrigues, Isabel Catalina Santos Moreno, Alvaro Bermejo Climent, Ramón Hevia, Tomás |
Resumen : | This paper uses the universe of European corporate data for the 1991-2016 period to demonstrate that systematic portfolio active management based on the identification of value, profitability and momentum factors is able to outperform the market benchmark. While factor investment strategies have received significant attention in the literature in the U.S. market, their application to European data is highly limited. Using an exclusive data set, we are able to construct different systematic investment strategies combining the three factors. We therefore offer a novel factor approach to portfolio management. We additionally address the relevance of currency risk in factor portfolio decision making and analyze the effects of the Euro introduction in 2002 in portfolio performance. |
URI : | http://hdl.handle.net/11531/19264 |
Aparece en las colecciones: | Documentos de Trabajo |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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WPQuantitative Investing_a Stock Selection System for Europe_28Nov2017_dd_para repositorioTHA.pdf | 1,9 MB | Adobe PDF | Visualizar/Abrir |
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