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Finansiella nyckeltalens samspel som investeringsstrategi: En kombinationsmodell för att uppnå riskjusterad överavkastning
Södertörn University, School of Social Sciences.
Södertörn University, School of Social Sciences.
2013 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study is based on a statistical analysis of fundamental key ratios on the Stockholm Stock Exchange during the period 2004-2012. In total 35 financial ratios of 90 companies were tested, ultimately five ratios remained within the 5% significance level. These ratios were ROA, P/B, Total Yield, EV/EBIT and Operating Margin. A custom made investment model was created based on the purpose to achieve a risk-adjusted excess return. The results in general did not show any significant difference in return between the model's portfolio and index. However, the study also came to the conclusion that the model's portfolios successfully generated a risk-adjusted excess return that is statistically significant over the years the stock market had a negative return.

Abstract [sv]

Denna undersökning baseras på statistiskt analys av fundamentala nyckeltal på Stockholmsbörsen under tidsperioden 2004-2012. Totalt testades 35 finansiella nyckeltal hos 90 bolag, där 5 nyckeltal visade ett statistiskt signifikant samband på 5 % nivån. Dessa nyckeltal var ROA, P/B, Totaldirektavkastning, EV/EBIT och Rörelsemarginal. En investeringsmodell skapades utifrån dessa resultat i syfte om att uppnå en riskjusterad överavkastning. Resultatet visade överlag ingen signifikant skillnad i avkastning mellan kombinationsmodellens portföljer och index. Dock kom undersökningen även fram till att kombinationsmodellens portföljer genererade en klar riskjusterad överavkastning som är statistiskt signifikant de åren index haft en negativ avkastning.

Place, publisher, year, edition, pages
2013. , 54 p.
National Category
Business Administration
URN: urn:nbn:se:sh:diva-22483OAI: diva2:698713
Subject / course
Business Studies
Social and Behavioural Science, Law
Available from: 2014-02-25 Created: 2014-02-25 Last updated: 2014-02-25Bibliographically approved

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