A Three Factor Portfolio Weighting Model for Select Stocks in the Healthcare Sector: Empirical Analysis, 2009-2019
Alec W. Gizzie, Trenton Brian Zoeller
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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.
Tony S. Caporale, Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium project, School of Business Administration
United Nations Sustainable Development Goals
"A Three Factor Portfolio Weighting Model for Select Stocks in the Healthcare Sector: Empirical Analysis, 2009-2019" (2021). Stander Symposium Projects. 2285.