NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS

This study aims to provide an analysis of trends and resistance dynamics of the growth and value investment strategies, particularly in terms of aggressiveness to market risk, using the market factor of beta. Current ARFIMA (p, d, q) models are analyzed to capture the idea of the fractional integrat...

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Detalhes bibliográficos
Autores: Monge, Manuel, Jordá, Jorge Aracil, Infante, Juan
Formato: artículo
Fecha de publicación:2025
País:España
Recursos:Universidad Francisco de Vitoria
Repositorio:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
Idioma:inglés
OAI Identifier:oai:ddfv.ufv.es:10641/7898
Acesso em linha:https://hdl.handle.net/10641/7898
Access Level:acceso abierto
Palavra-chave:Fractional Integration
Growth Investing
Non-Diversifiable Risk
Betas
Value Investing
Conservation
Archaeology
History
Arts and Humanities (miscellaneous)
Environmental Science (miscellaneous)
Social Sciences (miscellaneous)
Yes
yes
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repository_id_str
spelling NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSISMonge, ManuelJordá, Jorge AracilInfante, JuanFractional IntegrationGrowth InvestingNon-Diversifiable RiskBetasValue InvestingConservationArchaeologyHistoryArts and Humanities (miscellaneous)ArchaeologyEnvironmental Science (miscellaneous)Social Sciences (miscellaneous)YesyesThis study aims to provide an analysis of trends and resistance dynamics of the growth and value investment strategies, particularly in terms of aggressiveness to market risk, using the market factor of beta. Current ARFIMA (p, d, q) models are analyzed to capture the idea of the fractional integration of these strategies and the beta coefficient of the same in Dow Jones, Nasdaq, S&P 500, and the New York Stock Exchange. The findings suggest that there are substantial variations in the two strategies, with growth strategies being more prone to fluctuations and shocks in the market, whereas value strategies are strong and resilient. These differences are further supported by beta sensitivity analysis, where growth beta was found to be more risk-sensitive and value beta was found to carry a stabilizing influence, which would decrease return volatility over time.Facultad de Derecho, Empresa y Gobierno20252025-01-0120252025-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10641/7898reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoriainstname:Universidad Francisco de VitoriaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:ddfv.ufv.es:10641/78982026-06-11T12:44:57Z
dc.title.none.fl_str_mv NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
title NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
spellingShingle NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
Monge, Manuel
Fractional Integration
Growth Investing
Non-Diversifiable Risk
Betas
Value Investing
Conservation
Archaeology
History
Arts and Humanities (miscellaneous)
Archaeology
Environmental Science (miscellaneous)
Social Sciences (miscellaneous)
Yes
yes
title_short NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
title_full NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
title_fullStr NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
title_full_unstemmed NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
title_sort NON-DIVERSIFIABLE RISK IN VALUE AND GROWTH STRATEGIES. TIME TRENDS AND PERSISTENCE ANALYSIS
dc.creator.none.fl_str_mv Monge, Manuel
Jordá, Jorge Aracil
Infante, Juan
author Monge, Manuel
author_facet Monge, Manuel
Jordá, Jorge Aracil
Infante, Juan
author_role author
author2 Jordá, Jorge Aracil
Infante, Juan
author2_role author
author
dc.contributor.none.fl_str_mv Facultad de Derecho, Empresa y Gobierno
dc.subject.none.fl_str_mv Fractional Integration
Growth Investing
Non-Diversifiable Risk
Betas
Value Investing
Conservation
Archaeology
History
Arts and Humanities (miscellaneous)
Archaeology
Environmental Science (miscellaneous)
Social Sciences (miscellaneous)
Yes
yes
topic Fractional Integration
Growth Investing
Non-Diversifiable Risk
Betas
Value Investing
Conservation
Archaeology
History
Arts and Humanities (miscellaneous)
Archaeology
Environmental Science (miscellaneous)
Social Sciences (miscellaneous)
Yes
yes
description This study aims to provide an analysis of trends and resistance dynamics of the growth and value investment strategies, particularly in terms of aggressiveness to market risk, using the market factor of beta. Current ARFIMA (p, d, q) models are analyzed to capture the idea of the fractional integration of these strategies and the beta coefficient of the same in Dow Jones, Nasdaq, S&P 500, and the New York Stock Exchange. The findings suggest that there are substantial variations in the two strategies, with growth strategies being more prone to fluctuations and shocks in the market, whereas value strategies are strong and resilient. These differences are further supported by beta sensitivity analysis, where growth beta was found to be more risk-sensitive and value beta was found to carry a stabilizing influence, which would decrease return volatility over time.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025-01-01
2025
2025-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10641/7898
url https://hdl.handle.net/10641/7898
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
instname:Universidad Francisco de Vitoria
instname_str Universidad Francisco de Vitoria
reponame_str DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
collection DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812455

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