Generating Excess Returns through Value Investing - Evidence from the Nordic Equity Markets

Sammanfattning: This study evaluates the performance of different value investing strategies. The strategies involve investing in publicly listed companies at the Nordic market from 1998 to 2012. Two standard portfolios were formed based on strategies by the widely acclaimed originator of value investing Benjamin Graham and hedge fund manager Joel Greenblatt. The most important findings were however not made when testing these portfolios. Instead the portfolios generating significant excess returns throughout the time period were discovered when performing the sensitivity analysis. The findings are in accordance with what has been referred to as "Graham's Last Strategy", as well as with the basic principles of value investing. These principles include the pursuit for large discrepancies between current price and intrinsic value during normal economic conditions. The study is also in line with several aspects of the mean reversion phenomenon.