Abnorm avkastning utifrån Benjamin Grahams värdestrategi : Ett ex ante test för de svenska, amerikanska samt japansk aktiemarknaderna

Sammanfattning: Theability to beat the market is one of the most discussed topics in finance. Thereare very few investors that manage to accomplish this over longer periods oftime. Most of the financial research claims that this is impossible unless theinvestor increase the risk in the portfolio. However numerous of researchershave shown that it exist anomalies on the stock market which either indicatesthat the Capital Asset Pricing Modell (CAPM) or Fama and French three-factormodel fails to explain stock returns or that the market is not fully efficient.One investor that has claimed that the stock market is not fully efficient andthat it is possible to generate abnormal return is Benjamin Graham. Graham isone of the legends on Wall Street and he has shown that by using few variablesbased on public information, one can manage to beat the market over longer timeperiods. There arejust a few studies that have tested Graham’s criteria’s, however all of themindicates that they work but that the standard deviation might be higher forthe portfolios. Our study is the first one to test the criteria’s on the Swedishand Japanese stock exchange. It is also the only study that tests Grahams criteria’son data between 1990-2011 for the American market. Furthermore, the study isthe first to compare the results from different markets to examine whether theydeviates. It is also the first to study whether it is profitable to short thestocks that do not qualify to the portfolios. Moreover, the study is an ex antetest to examine whether Fama and French three-factor model are better topredict the expected returns from the portfolios. To minimize the risk forsurvivor bias delisted stocks have also been included in the study, which intotal contains 12 194 companies. The result of our study indicates that Graham’s criteria’sgenerates significant positive abnormal return especially on the Americanmarket. This seems to be true both when CAPM and Fama and French three-factormodel are used to predict the returns from the portfolios. We have also shownthat portfolios constructed on different markets seem to differ. Furthermore,we have not been able to show that it is possible to increase the return bymodify the criteria’s or the portfolios. Moreover, the result does not confirmthe increased standard deviation observed by Rao and Oliver (1993). Hence, theresults from the study indicate that it is possible for an ordinary investor toobtain an abnormal return by using the criteria’s.