Isabella Abreu, Trenton Brian Zoeller
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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.
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
"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.