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.
|Uddannelser||Virksomhedsstudier, (Bachelor/kandidatuddannelse) Bachelor el. kandidat|
|Udgivelsesdato||4 jan. 2016|
|Vejledere||Johannes Kabderian Dreyer|
- Value and Momentum everywhere
- Fama & French
- Social Science
- Combination portfolio