Quality factor in the European stock market
Amendola, Damiano (A.A. 2020/2021) Quality factor in the European stock market. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 89. [Master's Degree Thesis]
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Abstract/Index
Purpose and structure of the study. Factor investing. Size factor (SMB). Value factor (HML). Momentum factor (WML). Profitability factor (RMW). Investment factor (CMA). Defensive factor-the low beta anomaly (BAB). Macroeconomic factor. Liquidity factor. Quality factor. How to build a quality factor. Univariate portfolio analysis. Data. Global universe. Data sources. Factor analysis. Profitability factor–analysis ROE, ROA and gross profit-to-assets. Investment factor-changes in total assets and CapEx growth. Earnings stability–Y-o-Y earnings. Capital structure factor- debt-to-equity and operating cash flow to debt. Earnings quality factor-accruals component. Dataset. Methodology. Scoring system. Portfolio construction. REsults-long only and short strategy.
References
Bibliografia: pp. 77-78.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 May 2022 15:37 |
| Last Modified: | 09 May 2022 15:37 |
| URI: | https://tesi.luiss.it/id/eprint/32201 |
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