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2. ESG Data Challenges: User Discretion Is Advised

Author

Tatomir, Mirel, Brink, Alexander, Series Editor, Rendtorff, Jacob Dahl, Series Editor, Boatright, John, Editorial Board Member, Brenkert, George, Editorial Board Member, Chan, Allan K. K., Editorial Board Member, Cowton, Christopher, Editorial Board Member, George, Richard T. de, Editorial Board Member, Elster, Jon, Editorial Board Member, Etzioni, Amitai, Editorial Board Member, Pies, Ingo, Editorial Board Member, Haase, Michaela, Editorial Board Member, Hoevel, Carlos, Editorial Board Member, Shionoya, Yuichi, Editorial Board Member, Van Parijs, Philippe, Editorial Board Member, Rossouw, Gedeon J., Editorial Board Member, Wieland, Josef, Editorial Board Member, Kacanski, Slobodan, editor, Kabderian Dreyer, Johannes, editor, and Sund, Kristian J., editor

Published
2023
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6. The diminishing returns of value and momentum strategies in US markets

Author

Tatomir, Mirel, Pétursson, Eggert Freyr, and Dreyer, Johannes Kabderian

Subjects
Financial ratios, Market efficiency, Momentum, CAPM, Fama-French, Market capitalization, Book-to-market, Value, ROA, S&P 500
Abstract

This thesis investigates the behavior of value and momentum strategies in the S&P 500 from 2009 to 2019. In order to assess the performance of value and momentum in maximizing returns, the estimations are done based on the Capital Asset Pricing Model and the Fama and French Three Factor Model. Following the literature, unweighted portfolios are evaluated, as well as those weighed according to financial ratios, book-to-market, return on assets and market capitalization, respectively. The purpose of this research was to shed light on the contemporary performances of value and momentum. The findings of this paper showed the diminishing effects of both value and momentum in generating abnormal returns in the S&P 500 challenging the behavioral theories of these strategies. Furthermore, the results suggest that the Fama and French Three Factor Model did complement the initial CAPM findings in explaining the observed results. Overall, the results do not support significance of value and momentum strategies. The evidence against market efficiency found in prior years is not present in this data.

Published
2020

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