Teoretiska multiplar som investeringsstrategi : En kvantitativ studie om fundamentala värdedrivare och gapet mellan teori och praktik i relativvärdering

Sammanfattning: Title: Theoretical multiples as an investment strategy Authors: August Forsberg och William Rydman Supervisor: Øystein Fredriksen Background: Whether it is possible to generate excess return over time has been debated throughout the history and the results of previous research have found it possible. One approach to generate excess return is by using relative valuation. Even though there are theories on how to conduct the valuation method, a lot of actors in the market simplifies and misinterpret relative valuation. This leads onto the question if the gap between theory and practice has grown too big and if the common mistakes in relative valuation might be counteracted by calculating and using theoretical multiples as an investment strategy. Aim: The aim of this study is to analyze whether theoretical multiples can identify mispricing’s in the stock market. Further, the authors aim to examine if it is possible to generate excess return and a more accurate valuation by calculating the difference between theoretical- and reported multiples. Methodology: To achieve the aim of the study, a quantitative method with a deductive approach has been used. The study examines Swedish listed companies at OMX Stockholm Large Cap during the period 2008 to 2018. In order to evaluate the investment strategy, comparative portfolios have been designed based on the difference between theoretical and reported multiples. A total of eight portfolios have been constructed with low respectively high P/E, EV/EBITDA, P/BV and EV/Sales, where the portfolios are weighted once a year. Results: The study's results show that theoretical multiples work as an investment strategy for generating excess returns. In three out of four multiples, the overvalued shares performed better than the undervalued ones. By contrast, the undervalued shares generate higher riskadjusted returns than the overvalued ones. Although the psychological element in relative valuation is reduced by the investment strategy, the authors conclude that the share prices are largely influenced by other actors in the market. Key words: Efficient market hypothesis, Excess return, Investment strategies, Relative valuation, Multiples, Theoretical multiples, P/E, EV/EBITDA, P/BV, EV/Sales.