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Piotroski ur ett riskperspektiv: En empirisk studie av 3- samt 4-faktors CAPM
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2010 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

An efficient market implies that the use of fundamental analysis should not result in excess return, and that any return exceeding the market average can be explained by compensation for risk, accord-ing to The Capital Asset Pricing Model (CAPM). The focus of this study is to test whether the suc-cessful investment strategy developed by Piotroski (2000) generates excess return on American data, after risk adjustment by using Fama & French’s (1993) 3-factor and Carhart’s (1997) 4-factor CAPM. Initially we form stock portfolios based on companies characterized by high book-to-market values, additionally, we divide them into different performance classes by ranking them with Piotroski’s (2000) measure of financial performance, F_SCORE. Furthermore, we measure the actual return which these portfolios generates, using an one- and two-year buy-and-hold strategy, and calculate what theoretical return that is motivated by 3- and 4-factor CAPM, on the same sample. Our results show that Piotroskis (2000) investment strategy generates an average excess return for all the portfo-lios we construct, which cannot be explained by either 3- or 4-factor CAPM.

Place, publisher, year, edition, pages
2010. , p. 32
Keywords [sv]
Fundamental analys, 3-faktors CAPM, 4-faktors CAPM, risk, överavkastning
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-129692OAI: oai:DiVA.org:uu-129692DiVA, id: diva2:344941
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2010-08-23 Created: 2010-08-23 Last updated: 2010-08-23Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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