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Title: Essays in finance : asset comovement and portfolio construction
Author: Garcia, Francisco Javier Hurtado
ISNI:       0000 0004 5358 2059
Awarding Body: University of Essex
Current Institution: University of Essex
Date of Award: 2014
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The "Fundamental Indexation for Mexican Stocks" chapter applies the Fundamental Indexation methodology, as proposed by Arnot, Hsu and Moore (2005), to the Mexican market. This style of portfolio construction implies the use of financial metrics, rather than stock prices, to create investment strategies. The main findings are that most of the fundamental indexes used outperform the market-cap portfolio, in terms of average returns, terminal value and the relationship between risk and return. In ) particular, the Cash Flow and Cash & Investment strategies outperform the market-cap in terms of returns and Sharpe ratio, while the RNOI delivers the lowest levels of risk. The "Excess Comovement of Commodity Prices: Incorporating a Speculation Variable" chapter follows Pindyck and Rotemberg's (1990) methodology to test for the presence of excess comovement on commodity prices, but incorporates speculation as an additional explanatory factor in the model. Following the reports by the CFTC, Open Interest (01), Net Open Interest (NOI) and Total Net Open Interest (TNOI) are used as measures of speculation and it is found that these variables help to explain the behaviour of the commodity prices, but they do not remove all the excess comovement. The "Cross-Sectional and Time-Series Momentum in Commodity Futures Markets" chapter focuses on the methodologies developed by Jegadeesh and Titman (1993, 2001) for Cross-Sectional momentum, and Moskowitz, Ooi and Pedersen (2012) for Time-Series momentum. Both momentum strategies produce better results in comparison with market (equity, bond, and commodity) and risk (5MB, HML, and UMD) factors during the period 2000-2011 than during the period 1985-1999. Using cumulative and relative variance, the time-series momentum outperforms the classical cross-section strategy, in terms of returns and reward-to-risk ratio. Finally, using the time-series approach, the Metal sector achieves the highest returns and the Agricultural sector experiences the lowest volatility.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available