Teoretiska multiplar i praktiken : En kvantitativ studie av en investeringsstrategi baserad på multiplars fundamentala värdedrivare.
Sammanfattning: Background: Investing in stocks seems to be more widespread than ever. The question is whether there are strategies that mean that investors systematically and over a longer period of time can generate excess returns. Proponents of the efficient market hypothesis believe that this is not possible as a higher return than the market is obtained only as a result of fortuity or a higher risk-taking. In contrast, there are those who believe that investment strategies, by exploiting market inefficiencies, can generate excess returns. This study examines whether this is possible by applying an investment strategy based on theoretically derived multiples. Purpose: The purpose of this study is to analyze whether an investment strategy based on theoretically derived multiples can generate excess returns by identifying mispricings in the Swedish stock market. Methodology: This study has been conducted with a quantitative research method and deductive approach to be able to achieve the purpose of the study. The study's measurement period extends from 2007-2022 and is limited to companies that have been listed on the OMX Stockholm Large Cap. During the measurement period, the investment strategy has been applied with three different investment horizons for the multiples P/E, P/BV, EV/EBITDA and EV/S. To examine the strategy's ability to generate excess returns, the return and risk of constructed portfolios have been analyzed in relation to OMXSPI. Result: The results of the study show that the strategy should be applied with a longer investment horizon. All portfolios with an investment horizon of one or three years have generated a higher return than the study's benchmark index. The strategy thus seems to be able to generate excess returns, even though the results indicate that it works better during periods of upturn in the market. As the proportion of shares developed in line with the forecast was over 50% for all multiples, the excess return also seems to be explained by the fact that the strategy works well for identifying mispricings.
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