Detail práce

Mispricing in leveraged value small-capitalization stocks

Autor: Mgr. Jan Picálek
Rok: 2022 - letní
Vedoucí: Mgr. Martin Hronec
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 83
Ocenění: Ocenění DOT Award za vynikající magisterskou práci.
Abstrakt: We study returns in the universe of leveraged value small-capitalization stocks,
a universe with historically significant exposure to common risk factors. We separate future winners and losers within this universe of risky stocks by adopting
machine-learning-based mispricing strategy. The strategy considers 34 stocklevel characteristics to predict 1-month-ahead returns and construct a longshort portfolio accordingly. The portfolio yields abnormal risk-adjusted returns of 0.42% per month out-of-sample, uncovering statistically significant
mispricing. The machine-learning algorithm is trained on leveraged value smallcapitalization stocks, so it captures universe-specific nonlinearities and variable
interactions. The nonlinear effects and predictive power of individual variables
are extracted and presented as well. We found no evidence of a relationship
between the magnitude of the mispricing and credit cycles, or market volatility


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Patria Finance