Using the amihud illiquidity ratio to optimize a quantitative investment strategy

Detalhes bibliográficos
Autor(a) principal: Hesse, Rouven Leon
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10362/157249
Resumo: This research explored whether the performance of investment strategies based on liquidity can be enhanced by combining liquidity with size and optimizing the cut-off levels for liquidity quantiles. The Amihud (2002) illiquidity ratio is the underlying liquidity measure used for the analysis. In the in-sample period the strategy investing in the 10% of the stocks with the lowest liquidity in the S&P500 achieved the highest risk adjusted return. The results found in the in sample period cannot be replicated in the out-of-sample period.
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spelling Using the amihud illiquidity ratio to optimize a quantitative investment strategyQuantitative investingFactor investingPortfolio constructionStock liquidityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis research explored whether the performance of investment strategies based on liquidity can be enhanced by combining liquidity with size and optimizing the cut-off levels for liquidity quantiles. The Amihud (2002) illiquidity ratio is the underlying liquidity measure used for the analysis. In the in-sample period the strategy investing in the 10% of the stocks with the lowest liquidity in the S&P500 achieved the highest risk adjusted return. The results found in the in sample period cannot be replicated in the out-of-sample period.Hirschey, NicholasRUNHesse, Rouven Leon2023-09-02T14:04:20Z2023-01-172022-12-162023-01-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/157249TID:203310713enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T18:14:01Zoai:run.unl.pt:10362/157249Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:44:23.036883Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Using the amihud illiquidity ratio to optimize a quantitative investment strategy
title Using the amihud illiquidity ratio to optimize a quantitative investment strategy
spellingShingle Using the amihud illiquidity ratio to optimize a quantitative investment strategy
Hesse, Rouven Leon
Quantitative investing
Factor investing
Portfolio construction
Stock liquidity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Using the amihud illiquidity ratio to optimize a quantitative investment strategy
title_full Using the amihud illiquidity ratio to optimize a quantitative investment strategy
title_fullStr Using the amihud illiquidity ratio to optimize a quantitative investment strategy
title_full_unstemmed Using the amihud illiquidity ratio to optimize a quantitative investment strategy
title_sort Using the amihud illiquidity ratio to optimize a quantitative investment strategy
author Hesse, Rouven Leon
author_facet Hesse, Rouven Leon
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Hesse, Rouven Leon
dc.subject.por.fl_str_mv Quantitative investing
Factor investing
Portfolio construction
Stock liquidity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Quantitative investing
Factor investing
Portfolio construction
Stock liquidity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This research explored whether the performance of investment strategies based on liquidity can be enhanced by combining liquidity with size and optimizing the cut-off levels for liquidity quantiles. The Amihud (2002) illiquidity ratio is the underlying liquidity measure used for the analysis. In the in-sample period the strategy investing in the 10% of the stocks with the lowest liquidity in the S&P500 achieved the highest risk adjusted return. The results found in the in sample period cannot be replicated in the out-of-sample period.
publishDate 2022
dc.date.none.fl_str_mv 2022-12-16
2023-09-02T14:04:20Z
2023-01-17
2023-01-17T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/157249
TID:203310713
url http://hdl.handle.net/10362/157249
identifier_str_mv TID:203310713
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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