Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Medelvärdesåtervändande egenskaper i aktiekurser: En utfallsstudie på svenska fastighetsbolag
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2019 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
MRS (English)
Abstract [sv]

Syftet med denna rapport är att undersöka de medelvärdesåtervändande egenskaperna i aktiekursen för noterade fastighetsbolag med utgångspunkt för bolagets extraordinära substansvärde, samt hur väl information kan användas för investeringsbeslut.Resultatet av den empiriska utfallsstudien som utförts visar på att det finns ett samband mellan aktiekurs och substansvärden, samt att en investeringsstrategi baserat på medelvärdesåtervändande egenskaper i dessa variabler fungerar. Av de tre dynamiska portföljerna som tagits fram och som strävat efter att allokera störst vikt till de bolag som fundamentalt framstått som billigast jämfört med sitt genomsnittliga substansvärde, överträffar samtliga portföljer ett aktieindex av samma bolag.

Abstract [en]

This study investigates mean reversion in publicly traded property stocks with respect to the company’s extraordinary discounts to the net asset value; furthermore, to what extent this knowledge can be applied to investment strategies.The result of the empirical survey shows that there is a relationship between the stock prices and the net asset value, also, that an investment strategy utilizing mean reversion in these two variables works. Of the three dynamic portfolios, aiming to allocate the largest portfolio weight to the fundamentally cheapest stocks, based on their current discounts and premiums to the net asset value with respect to the company average, all three outperform an index of the same companies.

Place, publisher, year, edition, pages
2019. , p. 44
Series
TRITA-ABE-MBT ; 19216
Keywords [en]
Mean Reversion, Real Estate, Asset prices
Keywords [sv]
Fastigheter, Medelvärdesåtervändande, tillgångspriser
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-254853OAI: oai:DiVA.org:kth-254853DiVA, id: diva2:1335613
Supervisors
Examiners
Available from: 2019-08-13 Created: 2019-07-05 Last updated: 2019-09-25Bibliographically approved

Open Access in DiVA

fulltext(1573 kB)3 downloads
File information
File name FULLTEXT01.pdfFile size 1573 kBChecksum SHA-512
7fb47149be838f85e3ba2cdfb66cbdf91b49ed7b3e44b7e9cb706bf35388ac4915492914c491da97dbabac4410fa5f89d15205e831e06be9794b6220094f004f
Type fulltextMimetype application/pdf

By organisation
Real Estate and Construction Management
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 3 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 28 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf