Is return on assets a priced in risk factor in the equity markets? A study of the performance returns to portfolio weighting models with return on assets the principle factor loading.

Authors

Presenter(s)

Isabella Abreu, Trenton Brian Zoeller

Comments

Presentation: 9:00 a.m.-10:15 a.m., Kennedy Union Ballroom

Files

Description

In this study, we developed portfolio weighting models for four S&P 500 sectors, consumer discretionary, information technology, healthcare, and industrials with return on assets the principle factor loading. We test the hypothesis that the performance of the ROA portfolio weighting models outperform the market (S&P 500) over the period 2009-2021.

Publication Date

4-20-2022

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

Recommended Citation

"Is return on assets a priced in risk factor in the equity markets? A study of the performance returns to portfolio weighting models with return on assets the principle factor loading." (2022). Stander Symposium Projects. 2659.
https://ecommons.udayton.edu/stander_posters/2659