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

Simple item page
dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorHsieh, Heng-Hsingen_ZA
dc.date.accessioned2015-01-06T19:06:55Z
dc.date.available2015-01-06T19:06:55Z
dc.date.issued2010en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.identifier.apacitationHsieh, H. (2010). <i>Applications of global equity style indices in active and passive portfolio management</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/11676en_ZA
dc.identifier.chicagocitationHsieh, Heng-Hsing. <i>"Applications of global equity style indices in active and passive portfolio management."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2010. http://hdl.handle.net/11427/11676en_ZA
dc.identifier.citationHsieh, H. 2010. Applications of global equity style indices in active and passive portfolio management. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Hsieh, Heng-Hsing AB - 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. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Applications of global equity style indices in active and passive portfolio management TI - Applications of global equity style indices in active and passive portfolio management UR - http://hdl.handle.net/11427/11676 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11676
dc.identifier.vancouvercitationHsieh H. Applications of global equity style indices in active and passive portfolio management. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11676en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinanceen_ZA
dc.titleApplications of global equity style indices in active and passive portfolio managementen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2010_hsieh_h_h.pdf
Size:
4.68 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
PhD / Doctoral