Value & momentum vs. Fama & French

Alexander Hartwell Schultz, Mads Graversen, Oliver Lau Thomasen, Oksana Kuzmina & Anna Zhuravleva

Studenteropgave: Semesterprojekt

Abstrakt

This project sets out to test and replicate the findings of the article Value and Momentum everywhere, which found that a portfolio consisting of both value stocks and momentum stocks. This is done by constructing portfolios consisting of value and momentum stocks separately. The stock data was created by using historical data from the S&P 500 where the stocks were picked based on their past changes in price with timeframes ranging from 1 month to 5 years. Both, a CAPM analysis and a Fama & French three-factor analysis was used to examine the various portfolios’ returns. After the analysis was applied, the results were be examined, in order to determine which timeframe is the most efficient for both value and momentum individually. The findings showed that the momentum effect was largely present on the S&P 500, however value was only found for the 4th and 5th year.

UddannelserVirksomhedsstudier, (Bachelor/kandidatuddannelse) Bachelor el. kandidat
SprogEngelsk
Udgivelsesdato4 jan. 2016
VejledereJohannes Kabderian Dreyer

Emneord

  • Economics
  • Stocks
  • Value and Momentum everywhere
  • Fama & French
  • Portfolio
  • Value
  • Momentum
  • Social Science
  • Combination portfolio