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Boonmaytar Nannar. Implementing Black-Litterman using equity analyst consensus: evidence from SET50. Master's Degree(Finance). Thammasat University. Thammasat University Library. : Thammasat University, 2016.
Implementing Black-Litterman using equity analyst consensus: evidence from SET50
Name: Boonmaytar Nannar
keyword:
Black-Litterman
LCSH:
Investment analysis
-- Mathematical models
Abstract:
This study document that the Black-Litterman asset allocation model, which incorporates analyst consensus revision, outperforms the market for both monthly and quarterly rebalancing basis after transaction cost, as it provides the higher average return while keep the risk lower. Moreover, we show that equal-weighted favorable revision consensus portfolio performs impressively above the market as well. Thus, using analyst consensus, a public information, helps investor gaining an abnormal return. This affirms that the SET50 is a semi-strong form market inefficient
Thammasat University. Thammasat University Library
Address:
BANGKOK
Email:
preserv@tu.ac.th
Name: Sakkakom Maneenop
Role:
advisor
Created:
2016
Modified:
2021-06-07
Issued:
2021-06-07
วิทยานิพนธ์/Thesis
application/pdf
eng
DegreeName: Master of Science
Level: Master's Degree
Descipline: Finance
Grantor: Thammasat University
©copyrights Thammasat University
RightsAccess:
ใช้เวลา
0.019035 วินาที
Boonmaytar Nannar
| Title | Contributor | Type |
|---|---|---|
| Implementing Black-Litterman using equity analyst consensus: evidence from SET50
มหาวิทยาลัยธรรมศาสตร์ Boonmaytar Nannar | Sakkakom Maneenop | วิทยานิพนธ์/Thesis |
Sakkakom Maneenop