Presenter(s)

Sam Girouard, Ben Rudman

Download

Download Project (314 KB)

Description

This study is concerned with the development of momentum models that can be used to determine the portfolio weighting for industry classifications below the search level. Using Wharton Research Data Services (WRDS) data on revenue and gross operating profit at the 4 digit SIC code level,five and ten year compound annual growth rates (CAGR) are calculated for a small sample (10) of industry groups. Higher rates of growth in the most recent 5 years compared to the 10 year period will be considered a positive momentum factor. The hypothesis to be to tested is that 4 digit SIC codes with higher momemntum factors will have (1) more stocks ouperforming the sector which they are located in and/or (2) a larger number of stocks with extremely higher returns i.e. beyond the 95th percentile. Since WRDS provides data on all the stocks within a 4 digit SIC code, the distribution of returns can easily be determined.

Publication Date

4-9-2014

Project Designation

Independent Research

Primary Advisor

Robert Dean, Trevor Collier

Primary Advisor's Department

Economics and Finanace

Keywords

Stander Symposium project

Disciplines

Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

A Momentum Growth Rate Model for Selected 4 Digit Industrial Groupings 2002-2012

Share

COinS