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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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.


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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