Digitala Vetenskapliga Arkivet

Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
P/E-effekten: En utvärdering av en portföljvalsstrategi på Stockholmsbörsen mellan 2004 och 2012
Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
2013 (Svenska)Självständigt arbete på avancerad nivå (yrkesexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
Abstract [en]

One could argue that the most discussed topic in finance is whether or not it is possible to “beat the market”. Even though many people claim to do this, there is little evidence to support the idea that one can consistently beat the market over a long period of time. There are indeed several examples of investors who have managed to outperform the market consistently for a long time, but the efforts of these individuals or institutions could by many be considered to be pure luck.

One of the many strategies that have been evaluated by several researchers and is said to generate a risk adjusted return greater than that of the market, is one based on the P/E-effect. This strategy is based on the financial ratio P/E – price divided by earnings – and used by constructing portfolios consisting of stocks with low P/E ratios. Several studies have confirmed the existence of the P/E-effect on various stock markets around the world and over different time periods. On the Swedish market, however, few studies have generated the same results. Most of these studies can be considered to be insufficient with regards to sample sizes and methods, spawning a need for more extensive studies.

We have examined the P/E strategy on the Swedish Stock Exchange (SSE) between 2004 and 2012. The sample included 358 companies (excluding financial companies) with available necessary data. The stocks were divided into five portfolios based on their yearly P/E ratios (low to high), upon which the monthly returns of the individual stocks were calculated using a logarithmic formula. The returns were also risk adjusted using the Capital Asset Pricing Model (CAPM), followed by a regression analysis to see if possible abnormal returns could be considered to be statistically significant for the examined time period.

The results of our study indicate that the P/E effect is not present on the Swedish Stock Exchange during the examined time period, and we therefore conclude that it was not possible to utilize a strategy based on the P/E effect between 2004 and 2012 in order to achieve an abnormal return. The results can be used to argue that the Swedish stock market is more efficient than for example the U.S. stock market where the P/E effect has been found to exist.

Ort, förlag, år, upplaga, sidor
2013. , s. 56
Nyckelord [en]
Efficient market, financial market anomalies, P/E effect, abnormal return, Capital Asset Pricing Model, portfolio selection, regression analysis, diversification, random walk, Modern Portfolio Theory, investor irrationality, small firm effect, mean reversion, investor overreaction
Nyckelord [sv]
P/E, anomalier, EMH, CAPM, diversifiering, portföljval
Nationell ämneskategori
Företagsekonomi
Identifikatorer
URN: urn:nbn:se:umu:diva-76206OAI: oai:DiVA.org:umu-76206DiVA, id: diva2:635619
Utbildningsprogram
Civilekonomprogrammet med inriktning mot Service Management
Uppsök
samhälle/juridik
Handledare
Examinatorer
Tillgänglig från: 2013-07-05 Skapad: 2013-07-04 Senast uppdaterad: 2013-07-05Bibliografiskt granskad

Open Access i DiVA

P/E-effekten(1629 kB)2054 nedladdningar
Filinformation
Filnamn FULLTEXT01.pdfFilstorlek 1629 kBChecksumma SHA-512
4734163e32174aefcabf92f22b801cfba0c009ffd176810ee1f3dabd8199aecb937f449f8e67fdf4aecaefe71b32dfcd817f9a52b1537a2e78fb3bd1621f6ea3
Typ fulltextMimetyp application/pdf

Av organisationen
Företagsekonomi
Företagsekonomi

Sök vidare utanför DiVA

GoogleGoogle Scholar
Totalt: 2054 nedladdningar
Antalet nedladdningar är summan av nedladdningar för alla fulltexter. Det kan inkludera t.ex tidigare versioner som nu inte längre är tillgängliga.

urn-nbn

Altmetricpoäng

urn-nbn
Totalt: 1511 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf