An investigation into the performance of a portfolio of aerospace and defense firms during the Wars in Iraq and Afghanistan
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2023-08-07
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en
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This paper investigates whether a portfolio, composed of US aerospace and defense firms, is able to outperform the market in terms of risk adjusted returns over a given operational time frame, specifically that of Operation Enduring Freedom and Operation Iraqi Freedom. This paper first recreates the methodology of another academic paper that was the first to address this research question, then employs the use of a time series analysis and event study methodology by, mainly, the means of the Fama French 3-Factor model. This paper finds evidence in favor of failing to reject the null hypotheses presented, which indicates that such a defense portfolio is unable to provide inexplicable excess returns over the period of the Afghan and Iraq wars. The paper further utilizes numerous tests of robustness to add to the integrity of the results by employing different models and time frames, as well as different measures such as the Sharpe ratio and Corrado statistic for trading volume of a given event window.
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Faculteit der Managementwetenschappen