Essays about: "industry-neutral portfolio"
Found 2 essays containing the words industry-neutral portfolio.
1. On market efficiencies on the German stock market - Evidence via the implementation of momentum strategiesUniversity essay from Lunds universitet/Nationalekonomiska institutionen
Abstract : This paper investigates whether the German Stock is efficient or not, i.e. whether there is a way to systematically beat the market. Within this framework momentum strategies with formation and holding periods over 3- to 12-month horizons are applied on the CDAX. READ MORE
University essay from Lunds universitet/Nationalekonomiska institutionen
Abstract : This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. READ MORE