Fundamental trading strategies in frontier markets
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School of Business |
Master's thesis
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Authors
Date
2014
Department
Major/Subject
Finance
Rahoitus
Rahoitus
Mcode
Degree programme
Language
en
Pages
80
Series
Abstract
This thesis aims to be the first paper to study non normalized and industry normalized fundamental trading strategies in the frontier markets. Specifically, I test whether book-to-market (B/M), earnings-to-price (E/P), dividend-to-price (D/P), and EBITDA-to-enterprise value (E/E) strategies can create constant abnormal returns in the frontier markets.Description
Keywords
Frontier, markets, portfolio, strategy, industry, normalization, fundamental, valuation, alpha, value