Presenter(s)

Vincent Patrick Rullo

Comments

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

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Description

We develop portfolio weighting models for 3 concentrated portfolios: (1) Top Ten by market value, (2) next Ten by market value, (3) Top Twenty by market value. The principal factor loading is Revenue Per Share Growth. Returns are calculated for 2009-2019, the base period,2009-2020, which includes effect of Covid19, and 2009-2021, which includes the effect of Covid-19 and rising interest rates. We test the hypothesis that Revenue Per Share Growth is a priced-in risk factor i.e., all three portfolios out perform the broad market over the abovementioned time periods. We also determine if the risk premium varies by size (Top Ten vs. Next Ten) and by diversification (Top Ten vs. Top Twenty). Finally, to check on the effects of Covid-19 and rising interest rates we check to see if the cumulative return growth for 2009-2020 and 2009-2021 declined relative to the base period, 2009-2019.

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

The Effect of Size and Diversification on a Concentrated Portfolio of Consumer Discretionary Stocks: An Empirical Analysis of Portfolio Returns, 2009-2021

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