Essays about: "industry-neutral portfolio"

Found 2 essays containing the words industry-neutral portfolio.

  1. 1. On market efficiencies on the German stock market - Evidence via the implementation of momentum strategies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Naber; [2012]
    Keywords : Market efficiency; momentum; winner and loser portfolio; risk-neutral portfolio; industry-neutral portfolio; index-neutral portfolio; Business and Economics;

    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

  2. 2. Profitability of Momentum Strategies on the Eurozone Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andrei Sandu; Anastasia Korneva; [2009]
    Keywords : momentum; Winner and Loser portfolios; zero-investment strategy; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    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