Värde kontra tillväxt

Sammanfattning: Abstract Bachelor´s thesis in financial economics, Department of economics, School of economics and management, Lund. 15 ECTS, Fall 2010. Questions at issue - Will a portfolio composed with value stock outperform a portfolio composed consisting growth stocks between the years 1996-2009 on the Swedish stock market? - Will any of the portfolios create a risk adjusted excess return with comparison to its index? Purpose The purpose with this thesis is to examine if an investor, from public information, in terms of P/E ratio and dividend yield can put together a portfolio of value stocks that provides an excess return, in absolute as well as risk-adjusted, compared to a portfolio constructed by growth stocks. In addition, we will also investigate whether one or both of these generate an excess return to the index. In other words, this is a test on the Swedish stock market is at least semi strong efficient. Method We have chosen to use a quantitative data collection. In order to see if we between 1996-2009 can observe a difference in return, in absolute as well as risk adjusted, to a portfolio constructed by value stocks in relation to a portfolio constructed by growth stocks we have created three different portfolios within each category. In order for us to make a fair comparison between the two different portfolio strategies, consideration has also been given to the risk adjusted returns in the form of the Sharpe ratio. Conclusion We can’t establish a significant difference between value stocks and growth stocks on 5 % level of significance, even if it’s very close. What we can establish is that there seem to be a value premium. Furthermore we can also establish that value stocks reach a higher risk adjusted return than its index on a 1 % significance level and the 5 % level of significance in terms of absolute returns. In contrast to value stocks, we cannot find any statistically significant difference at 5 % level of significance for either absolute or risk adjusted returns of growth stocks. This is in line with earlier research which says that value stocks provide an excess return on growth stocks – the so called value premium.