Work detail

Rivals as Allies: Combining Fundamental and Technical Analysis for Stock Investing

Author: Bc. Igor Buinevici
Year: 2019 - summer
Leaders: RNDr. Michal Červinka Ph.D.
Work type: Bachelors
Language: English
Pages: 56
Awards and prizes: Nomination Deloitte Outstanding Thesis Award
Abstract: The main aim of this thesis is to perform a detailed investigation of certain investment strategies based on European stock data. There are four
investment strategies overall that are examined from the performance perspective: momentum strategy, momentum strategy with BOS ratio filtering,
fundamental buy and hold strategy using F SCORE and a key combined
strategy incorporating all the methods mentioned above. After the estimation of Fama and French three-factor model for the combined strategy
using the aggregated group of stocks, it can be inferred that in the case of a
monthly rebalancing this strategy generates statistically significant monthly
risk-adjusted return of 0.938%. For the three-month, six-month and ninemonth holding periods the conclusion for the aggregated group of stocks is
similar - in all of these cases the combined strategy also generates statistically significant risk-adjusted returns. Based on further comparative testing
of strategies for the aggregated group of stocks, it can be stated that the
combined investment strategy significantly outperforms all other strategies
in terms of returns, especially in the case of a one-month holding period.




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