Beating the market, using linear regression to outperform the market average
In this thesis we set out to find out whether we could use linear models on financial data to make stocks picks that return above the market average. The linear models were successful in outperforming the market over different periods, though the model performed best when it picked stocks for a period of 2 years. The models also worked together in a committee to create and manage a portfolio for over a decade, the return of the portfolio was above the average return of the population. There was however a survivorship bias in the data which has a considerable effect on the average population performance. Though our models outperformed this high population average, it remains to be seen whether the models would outperform in a population without the survivorship bias.
Faculteit der Sociale Wetenschappen