Raul Navas

By Raúl Navas, Ana Paula Matias Gama and Sónia R. Bentes

This chapter investigates the relevance of fundamental analysis (FA) for companies listed on the Euronext 100 index. Can FA provide relevant information that increases understanding of the underlying value of a company? This study leverages an FA strategy to select shares in a portfolio that can systematically yield significant, positive excess market buy-and-hold returns, 1 and 2 years after the portfolio formation. Using annual financial data available from 2000 to 2016, this analysis calculates three scores applied to construct the portfolios: the L-score, F-score, and PEIS. These insights inform investors’ potential uses of fundamental signals (scores) to obtain abnormal returns. The results show that portfolios formed with high versus low scores earn 1- and 2-year abnormal returns between 2000 and 2016. This chapter contributes to scarce accounting research in European capital markets by furthering understanding of the possibility of mispriced securities.

Part of the book: Trade and Global Market

By Raúl D. Navas, Sónia R. Bentes and Helena V.G. Navas

Our study explores the efficient frontier of optimal investment, taking behind the Markowitz’s theory, while advocating a diversified portfolio to reduce risk. To perform it, six portfolio models are proposed, and its formation are made by a solver, where the selected solving method is the GRG Nonlinear engine for linear solver problems. Our main goal is to design portfolios that resists to financial crisis but at the same time persists in a wealthy period. We analyze the decade where we assisted to two crashes (2000–2010) and a semi-decade where we assist to a wealthy period (2011–2018). The assets used are varied, such as Equities indexes form various countries, sector equities, bonds, commodities, EURUSD exchange and VIX. Results show that the GRG Nonlinear engine is powerful, providing excess returns in all six models.

Part of the book: Quality Control