Manufacturing and the q-factor pricing model

dc.contributorAalto Universityen
dc.contributorAalto-yliopistofi
dc.contributor.advisorSuominen, Matti
dc.contributor.authorSvobodova, Michaela
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.date.accessioned2021-09-19T16:05:22Z
dc.date.available2021-09-19T16:05:22Z
dc.date.issued2021
dc.description.abstractThis thesis looks at the differences between the q-factor asset pricing model (Hou, Xue, and Zhang, 2015) factors constructed from manufacturing sector stocks and the factors created from the non-manufacturing stocks. The differences between the corresponding factors were tested with the paired sample t-test. The differences between the market, the size, and the investment factors were not found to be statistically significant at any reasonable level, neither in the shorter sample 1992-2019, nor in the longer period 1967-2019, which was used as a robustness check. The profitability factor created from the manufacturing stocks had on average lower returns than that created from the non-manufacturing stocks. This difference was statistically significant at 5% level in the short sample, but it was not significant during the longer sample period.en
dc.format.extent71+2
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/110024
dc.identifier.urnURN:NBN:fi:aalto-202109199246
dc.language.isoenen
dc.locationP1 Ifi
dc.programmeFinanceen
dc.subject.keywordq-factor modelen
dc.subject.keywordmanufacturingen
dc.subject.keywordinvestment factoren
dc.subject.keywordprofitability factoren
dc.subject.keywordasset pricing modelen
dc.subject.keywordstock pricingen
dc.titleManufacturing and the q-factor pricing modelen
dc.typeG2 Pro gradu, diplomityöfi
dc.type.ontasotMaster's thesisen
dc.type.ontasotMaisterin opinnäytefi
local.aalto.electroniconlyyes
local.aalto.openaccessyes
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