Traditional asset pricing research often relies on theoretical portfolio constructions to test the explanatory power of models. In this study, we propose a novel and pragmatic approach: portfolios are constructed based on the actual stock selection guidelines of well-known, successful investors, translated into programmable, rule-based filters. These portfolios aim to resemble real-world investment strategies more closely than standard academic constructions. We then evaluate their performance using two of the most influential models in finance - the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor model (FF3F). The results reaffirm the superior explanatory power of the FF3F model. More importantly, they show that portfolios reflecting growth investing strategies align more closely with the predictions of both models than those based on value investing principles.
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