Presenter(s)

    Alec W. Gizzie, Trenton Brian Zoeller

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    Description

    In this study we look at impact the of revenue growth, operating profit and relative price momentum on the return performance of the top ten stocks (by market value) in the S&P 500 Healthcare Sector over the period 2009-2019. We develop a 3 factor portfolio weighting model and compare the performance of this model to the broad market index S&P 500. Using time trend regressions with revenue growth and operating profits as the Y variables and time as the X variable, we take the slope coefficients from the regressions as the original weights for our model. We use the yearly relative price momentum to adjust the weights annually. We test the hypothesis that combined, revenue, growth, and operating profits are priced-in risk factors i.e, they generate excess returns over the market.

    Publication Date

    4-22-2021

    Project Designation

    Independent Research

    Primary Advisor

    Tony S. Caporale, Robert D. Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project, School of Business Administration

    United Nations Sustainable Development Goals

    Quality Education

    A Three Factor Portfolio Weighting Model for Select Stocks in the Healthcare Sector: Empirical Analysis, 2009-2019

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