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Applications of global equity style indices in active and passive portfolio management
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2015
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| _version_ | 1867613280250363904 |
|---|---|
| access_status_str | Open Access |
| author | Hsieh, Heng-Hsing |
| author2 | Van Rensburg, Paul |
| author_browse | Hsieh, Heng-Hsing Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Hsieh, Heng-Hsing |
| author_sort | Hsieh, Heng-Hsing |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11676 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:37.862Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11676 Applications of global equity style indices in active and passive portfolio management Hsieh, Heng-Hsing Van Rensburg, Paul Finance Includes abstract. Includes bibliographical references. The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008. 2015-01-06T19:06:55Z 2015-01-06T19:06:55Z 2010 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/11676 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance Hsieh, Heng-Hsing Applications of global equity style indices in active and passive portfolio management |
| thesis_degree_str | Doctoral |
| title | Applications of global equity style indices in active and passive portfolio management |
| title_full | Applications of global equity style indices in active and passive portfolio management |
| title_fullStr | Applications of global equity style indices in active and passive portfolio management |
| title_full_unstemmed | Applications of global equity style indices in active and passive portfolio management |
| title_short | Applications of global equity style indices in active and passive portfolio management |
| title_sort | applications of global equity style indices in active and passive portfolio management |
| topic | Finance |
| url | http://hdl.handle.net/11427/11676 |
| work_keys_str_mv | AT hsiehhenghsing applicationsofglobalequitystyleindicesinactiveandpassiveportfoliomanagement |