The Trend of Value Premium and the Predictive Role of Uncertainty Measures in Strategic Asset Allocation

dc.contributor.author	Engen, Anelill Sandnes
dc.contributor.author	Glastad, Kristina Ree
dc.date.accessioned	2024-10-24T11:25:56Z
dc.date.available	2024-10-24T11:25:56Z
dc.date.issued	2024
dc.identifier.uri	https://hdl.handle.net/11250/3160641
dc.description	Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2024	en_US
dc.description.abstract	This thesis examines the presence of a Value Premium in the US market, and if it has gone down in the second half of the time period from 1963 to 2019. Furthermore, we study the potential predictive power of uncertainty indexes of the Value Premium in the short and medium term. Finally, we aim to build trading strategies based on uncertainty, volatility, and dynamic optimal weighting. Our findings show that higher economic and financial uncertainty, measured by various indexes is consistent with lower premiums. With this, we optimize strategies which succeed in outperforming the baseline Value Premium with better risk-adjusted returns.	en_US
dc.language.iso	eng	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans	en_US
dc.subject	finance	en_US
dc.title	The Trend of Value Premium and the Predictive Role of Uncertainty Measures in Strategic Asset Allocation	en_US
dc.type	Master thesis	en_US