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The economic relevance of the value investing strategy in a conditional framework

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Cipolla, Luca ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 31-Aug-2021/6-Sep-2021 • Permalink : http://hdl.handle.net/2268.2/13577
Details
Title : The economic relevance of the value investing strategy in a conditional framework
Translated title : [fr] La pertinence économique de la stratégie d'investissement de valeur dans un cadre conditionnel
Author : Cipolla, Luca ULiège
Date of defense  : 31-Aug-2021/6-Sep-2021
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Dare, Wale ULiège
Fays, Boris ULiège
Language : English
Number of pages : 133
Keywords : [fr] Fama-French, Sequential sorting, Independent sorting, Value strategy, Value premium, CAPM, Multifactor model, quality
Discipline(s) : Business & economic sciences > Finance
Name of the research project : The economic relevance of the value investing strategy in a conditional framework
Target public : Student
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[fr] This paper contributes to (i) the value investment strategy and the value premium, (ii) the role of sorting procedure regarding portfolio computations to infer risk premia and (iii) the size matter in the multifactor framework. Alternative criteria to compute the value premium and to perform value strategy has been used as well as alternative sorting methodology for the portfolio computations in the multifactor context.


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Author

  • Cipolla, Luca ULiège Université de Liège > Master sc. gest., à fin.

Promotor(s)

Committee's member(s)

  • Dare, Wale ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
    ORBi View his publications on ORBi
  • Fays, Boris ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
    ORBi View his publications on ORBi
  • Total number of views 56
  • Total number of downloads 8










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