AUEB Library - Digital Repository

PYXIDA Institutional Repository
and Digital Library

Username
Password

Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών / Department of International and European Economic Studies Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Investment strategies on French’s 49 industry portfolios

Creator :	Nakas, Efthymios

Contributor :	Skouras, Spyros (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of International European Economic Studies (Degree granting institution)

Type :	Text

Extent :	34p.

Language :	en

Abstract :	The writing of the present thesis was conducted as part of completion of the graduate program “International Economics and Finance” at Athens University of Economics and Business. The objective of the thesis is to examine the effectiveness of certain investment strategies on past stock returns categorized in 49 industries obtained from Kenneth R. French’s data library. The strategies are based on effects and factors observed in various asset markets. Specifically the strategies are: Momentum, Time-Series Momentum, Size, Book-to-Market and Industry Concentration. The rest of this thesis is organized as follows: Introduction: A brief petition on the main subject, Chapter 1: Detailed presentation of theory elements, Chapter 2: Presentation of the empirical analysis, Chapter 3: Conclusions

Abstract :

The writing of the present thesis was conducted as part of completion of the graduate program “International Economics and Finance” at Athens University of Economics and Business. The objective of the thesis is to examine the effectiveness of certain investment strategies on past stock returns categorized in 49 industries obtained from Kenneth R. French’s data library. The strategies are based on effects and factors observed in various asset markets. Specifically the strategies are: Momentum, Time-Series Momentum, Size, Book-to-Market and Industry Concentration. The rest of this thesis is organized as follows: Introduction: A brief petition on the main subject, Chapter 1: Detailed presentation of theory elements, Chapter 2: Presentation of the empirical analysis, Chapter 3: Conclusions

Subject :	Investment strategies Effectiveness Momentum Time-Series Momentum Size Book-to-Market Industry concentration French industry

Date :	31-01-2017

Licence :

File: Nakas_2017.pdf

Type: application/pdf

Login