A Portfolio Weighting Model for the Real Estate S&P500 Sector with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns, 2009-2022

Authors

Presenter(s)

Paul Waweru, Kathleen Hattrup

Comments

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

Files

Description

In this study we run two empirical tests: (1) The revenue growth factor weighted portfolio model has higher returns than an equal weight portfolio model. (2) Firm revenue growth is a priced-in risk factor in the equity market.For the first empirical test, we compare the long-run cumulative returns for the revenue growth factor-based portfolio weighting model to the cumulative returns for the equal weight portfolio, 2009-2022. For the second empirical test, we compare the cumulative excess returns for my portfolio weighting model over the S&P500 Index, 2009-2022.We use two investment strategies to generate my returns: (1) Buy & Hold, (2) Adjustable Shares.

Publication Date

4-19-2023

Project Designation

Independent Research

Primary Advisor

Jon Fulkerson, Robert Dean

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium, School of Business Administration

Institutional Learning Goals

Scholarship

Recommended Citation

"A Portfolio Weighting Model for the Real Estate S&P500 Sector with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns, 2009-2022" (2023). Stander Symposium Projects. 2865.
https://ecommons.udayton.edu/stander_posters/2865