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Table of contents
1. Introduction
1.1 Problem Background
1.1.1 Factor Investing
1.1.2 Common Factors
1.2 Problem Discussion
1.2.1 The Importance of Factor Investing
1.2.2 Choice of Factors
1.3 Purpose and Research Question
1.4 Theoretical and Practical Contribution
1.5 Choice of Topic
1.6 Limitations
2. Theoretical point of departure
2.1 Theoretical Framework
2.1.1 Efficient Market Hypothesis
2.1.2 The Joint Hypothesis Problem
2.1.3 Capital Asset Pricing Model
2.1.4 Quality Factor
2.1.5 Value Factor
2.1.6 Factor Cyclicality
2.2 Previous Research
2.2.1 Fama and French
2.2.2 The Magic Formula
3. Method
3.1 Preconceptions
3.2 Literature Search
3.3 Scientific Approach
3.3.1 Ontological Assumptions
3.3.2 Epistemological assumptions
3.4 Research Approach and Methodological Choice
3.5 Practical Method
3.5.1 Population
3.5.2 Factor Model and Portfolio Creation
3.5.3 Calculations and comparisons
3.5.4 Problems
3.5.5 Statistical Method
3.5.6 Method Discussion
4. Hypotheses
5. Results
5.1 Hypotheses
5.1.1 Portfolio 1
5.1.2 Portfolio 2
5.1.3 Portfolio 3
5.1.4 Portfolio 4
5.1.5 Portfolio 5
5.1.6 Summary of Hypotheses
5.2 Additional Data
5.2.2 Data from Regression Analysis
6. Analysis of Results
7. Discussion
8. Conclusions
8.1 Applicability of Results
8.2 Recommendations for Further Research
8.3 Ethical and Societal Considerations
9. Truth Criteria
9.1 Reliability
9.2 Validity
Reference list
Appendix
Portfolio 1
Portfolio 2
Portfolio 3
Portfolio 4
Portfolio 5
