Investment strategies on French’s 49 industry portfolios

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