Manufacturing and the q-factor pricing model
dc.contributor | Aalto University | en |
dc.contributor | Aalto-yliopisto | fi |
dc.contributor.advisor | Suominen, Matti | |
dc.contributor.author | Svobodova, Michaela | |
dc.contributor.department | Rahoituksen laitos | fi |
dc.contributor.school | Kauppakorkeakoulu | fi |
dc.contributor.school | School of Business | en |
dc.date.accessioned | 2021-09-19T16:05:22Z | |
dc.date.available | 2021-09-19T16:05:22Z | |
dc.date.issued | 2021 | |
dc.description.abstract | This 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.extent | 71+2 | |
dc.format.mimetype | application/pdf | en |
dc.identifier.uri | https://aaltodoc.aalto.fi/handle/123456789/110024 | |
dc.identifier.urn | URN:NBN:fi:aalto-202109199246 | |
dc.language.iso | en | en |
dc.location | P1 I | fi |
dc.programme | Finance | en |
dc.subject.keyword | q-factor model | en |
dc.subject.keyword | manufacturing | en |
dc.subject.keyword | investment factor | en |
dc.subject.keyword | profitability factor | en |
dc.subject.keyword | asset pricing model | en |
dc.subject.keyword | stock pricing | en |
dc.title | Manufacturing and the q-factor pricing model | en |
dc.type | G2 Pro gradu, diplomityö | fi |
dc.type.ontasot | Master's thesis | en |
dc.type.ontasot | Maisterin opinnäyte | fi |
local.aalto.electroniconly | yes | |
local.aalto.openaccess | yes |
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