Applications of global equity style indices in active and passive portfolio management

 

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dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Hsieh, Heng-Hsing en_ZA
dc.date.accessioned 2015-01-06T19:06:55Z
dc.date.available 2015-01-06T19:06:55Z
dc.date.issued 2010 en_ZA
dc.identifier.citation Hsieh, H. 2010. Applications of global equity style indices in active and passive portfolio management. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/11676
dc.description Includes abstract. en_ZA
dc.description Includes bibliographical references. en_ZA
dc.description.abstract The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Finance en_ZA
dc.title Applications of global equity style indices in active and passive portfolio management en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Doctoral en_ZA
dc.type.qualificationname PhD en_ZA
uct.type.filetype Text
uct.type.filetype Image


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