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dc.contributor.authorFiguerola Ferretti Garrigues, Isabel Catalinaes-ES
dc.contributor.authorSantos Moreno, Alvaroes-ES
dc.contributor.authorBermejo Climent, Ramónes-ES
dc.contributor.authorHevia, Tomáses-ES
dc.date.accessioned2017-06-23T11:11:20Z
dc.date.available2017-06-23T11:11:20Z
dc.identifier.urihttp://hdl.handle.net/11531/19264
dc.description.abstractes-ES
dc.description.abstractThis 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.en-GB
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoen-GBes_ES
dc.rightsCreative Commons Reconocimiento-NoComercial-SinObraDerivada Españaes_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/es_ES
dc.titleFactor Investing: A stock Selection system for The European Equity Marketes_ES
dc.typeinfo:eu-repo/semantics/workingPaperes_ES
dc.description.versioninfo:eu-repo/semantics/draftes_ES
dc.rights.holderes_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES
dc.keywordses-ES
dc.keywordsFactor Investing, Value, Profitability, Momentum, Alpha, CAPM, Active Investing, Currency risken-GB


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