Value Investing on the 21st Century Swedish Stock Market

Sammanfattning: Does value investing work on the 21-st century Swedish stock market? We examine the performances of the FScore strategy (Piotroski 2000), the V/P strategy (Frankel and Lee 1998), and a combination of these (Li and Mohanram 2019) on the Swedish stock market between 2000-2020. We find that they produce significant and substantial average raw returns during the period, much above the total return of a comparable market index. However, only the abnormal return of the FScore strategy is statistically significant, even though that of the combined strategy is higher. Based on a very low power of the Fama and French (2015) five-factor model in explaining the returns of the V/P and combined strategies, we argue that the insignificance is most likely due to under-diversification.