Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance

Bibliographic Details
Main Author: Vasco, Tiago Senra Casanova
Publication Date: 2023
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/173439
Summary: The study delves into the performance of the MRTS 452 – General Merchandise Stores signal across 32 years, linking it to the 12 Industry Portfolios from Fama-French. In contrast to findings in smaller time frames, the signal did not replicate similar risk-adjusted performance for the Consumer Discretionary/Durable sector. However, the combination of the 12 sectors into a Long-Short strategy emerged as a resilient approach, exhibiting heightened diversification, effective risk mitigation, and adaptability to varying market conditions. This strategy excelled in managing downside risk, challenging the efficient hypothesis. Concurrently, the Long-Only portfolio demonstrated superior overall returns and lower volatility, outperforming the benchmark.
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spelling Analyzing the dynamic relationship between consumer spending patterns and stock market sector performanceConsumer behaviorQuantitative strategiesMarket signalsConsumer spendingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe study delves into the performance of the MRTS 452 – General Merchandise Stores signal across 32 years, linking it to the 12 Industry Portfolios from Fama-French. In contrast to findings in smaller time frames, the signal did not replicate similar risk-adjusted performance for the Consumer Discretionary/Durable sector. However, the combination of the 12 sectors into a Long-Short strategy emerged as a resilient approach, exhibiting heightened diversification, effective risk mitigation, and adaptability to varying market conditions. This strategy excelled in managing downside risk, challenging the efficient hypothesis. Concurrently, the Long-Only portfolio demonstrated superior overall returns and lower volatility, outperforming the benchmark.Hirschey, Nicholas H.RUNVasco, Tiago Senra Casanova2024-10-14T10:41:03Z2024-01-242023-12-192024-01-24T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/173439TID:203603516enginfo: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:RCAAP2024-10-21T01:38:02Zoai:run.unl.pt:10362/173439Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T18:59:30.153370Repositórios 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 Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
title Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
spellingShingle Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
Vasco, Tiago Senra Casanova
Consumer behavior
Quantitative strategies
Market signals
Consumer spending
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
title_full Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
title_fullStr Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
title_full_unstemmed Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
title_sort Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
author Vasco, Tiago Senra Casanova
author_facet Vasco, Tiago Senra Casanova
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Vasco, Tiago Senra Casanova
dc.subject.por.fl_str_mv Consumer behavior
Quantitative strategies
Market signals
Consumer spending
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Consumer behavior
Quantitative strategies
Market signals
Consumer spending
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The study delves into the performance of the MRTS 452 – General Merchandise Stores signal across 32 years, linking it to the 12 Industry Portfolios from Fama-French. In contrast to findings in smaller time frames, the signal did not replicate similar risk-adjusted performance for the Consumer Discretionary/Durable sector. However, the combination of the 12 sectors into a Long-Short strategy emerged as a resilient approach, exhibiting heightened diversification, effective risk mitigation, and adaptability to varying market conditions. This strategy excelled in managing downside risk, challenging the efficient hypothesis. Concurrently, the Long-Only portfolio demonstrated superior overall returns and lower volatility, outperforming the benchmark.
publishDate 2023
dc.date.none.fl_str_mv 2023-12-19
2024-10-14T10:41:03Z
2024-01-24
2024-01-24T00:00:00Z
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/10362/173439
TID:203603516
url http://hdl.handle.net/10362/173439
identifier_str_mv TID:203603516
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
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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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