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Enhancement of value strategies using the profitability premium

Brockmann, Lukas
Master thesis
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1755283.pdf (3.520Mb)
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http://hdl.handle.net/11250/2480680
Utgivelsesdato
2017
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Samlinger
  • Master of Science [1117]
Sammendrag
The profitability premium can enhance value strategies. The anomaly is still

significant after adding a profitability- (RMW) and investment (CMA) factor to the

(Fama & French, 1993, 2015) three factor regression. A combination of the four

anomalies-- Book-to-Market Equity, Operating Cashflow, Gross Profit and Operating

Profit-- in a Mean Variance Portfolio achieves significant out of sample returns

compared to the market and other anomaly portfolios. This simple strategy realizes an

annualized Sharpe ratio of 1.30 between July 1966 to June 2016 and is even

significant after transaction costs. In addition, after implementing mutual fund

restrictions (no short selling, minimum market capitalization) it still earns a

significant monthly Alpha of 0.22% and is therefore suitable for retail- and

institutional investors.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

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