The primary purpose of this study is to test whether a value-based investment strategy will outperform a growth-based investment strategy when applied to SAREIT investment. The secondary purpose is to assess whether the SAREIT investor can discriminate between strong and weak value-REITs through sound accounting-based fundamental analysis using the F-Score Model. Building on existing research on value-based investment strategies and market efficiency, this study offers an SAREIT perspective to the existing body of knowledge on value investing theory through portfolio selection based on P/NAV, P/E, P/CF and DY ratio analysis. The holding period returns of the respective value-based portfolios are compared to their growth-based counterparts for an examination of relative performance. The evidence from this research does not offer probabilistic support that a value-based approach to SAREIT selection and investment will outperform a growth-based approach, nor that it is possible to discriminate between financially strong and weak value-REITs through sound accounting-based fundamental analysis using the F-Score Model. Further research is required to develop the said strategies and models for application to the SAREIT sector.

The aim of this master thesis is to create investing stock portfolio using value screening, money aggregate MZM and stock prices of chosen companies. Funding is realized by Dollar-cost averaging method. First part introduces reader to stocks and its place at financial market. Afterwards comes introduction to investments and applied Dollar-cost averaging method and authors customisations of this method. Final part contains results of customised Dollar-cost averaging method and suggestion for its usage at financial market.

This research project investigated the effectiveness of the Piotroski screen to select financially sound stocks from the upper quintile of high book-to-market value (growth) stocks on the Johannesburg Stock Exchange (JSE). The period chosen for this study was all the years since the publication of the Piotroski screen in 2000 until the most recent financial year, 2011.Although no conclusive evidence was found that the mean returns from the portfolio of financially strong firms that were selected by means of the Piotroski screen were significantly better than the portfolio of value stocks, it was strongly suspected that the small group of firms that were signified as financially the strongest by the Piotroski screen had a decreased probability of containing firms with negative one year buy-and-hold returns compared to the other portfolios. Although the outcome was inconclusive due to small sample sizes, it was also strongly suspected that the one year buy-and-hold strategy yielded returns that were in the order of almost four times better than the five year buy-and-hold strategy.It was recommended that, in order to minimise suboptimal investor behaviour caused by psychological biases on the JSE, investors should adopt a mechanical investment method based on objective financial statement analysis, using the Piotroski screen to select financially strong firms from the pool of value firms. It was further recommended that an annual portfolio balancing strategy should be used. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Advances in information technology have presented the potential to automate investment decision making processes. This will alleviate the need for manual analysis and reduce the subjective nature of investment decision making. However, there are different investment approaches and perspectives for investing which makes acquiring and representing expert knowledge for share evaluation challenging. Current decision models often do not reflect the real investment decision making process used by the broader investment community or may not be well-grounded in established investment theory. This research investigates the efficacy of using ontologies and Bayesian networks for automating share evaluation on the JSE. The knowledge acquired from an analysis of the investment domain and the decision-making process for a value investing approach was represented in an ontology. A Bayesian network was constructed based on the concepts outlined in the ontology for automatic share evaluation. The Bayesian network allows decision makers to predict future share performance and provides an investment recommendation for a specific share. The decision model was designed, refined and evaluated through an analysis of the literature on value investing theory and consultation with expert investment professionals. The performance of the decision model was validated through back testing and measured using return and risk-adjusted return measures. The model was found to provide superior returns and risk-adjusted returns for the evaluation period from 2012 to 2018 when compared to selected benchmark indices of the JSE. The result is a concrete share evaluation model grounded in investing theory and validated by investment experts that may be employed, with small modifications, in the field of value investing to identify shares with a higher probability of positive risk-adjusted returns.

This thesis examined the predictive power of different strategies for future stock returns. The analysis was conducted using a data sample of 3976 firms traded on the New York Stock Exchange (NYSE) and NASDAQ during a 29 year time horizon, from July 1986 to June 2015. Predictive powers of different strategies were also tested during three sub-periods and during bull and bear markets using both long-only and long/short portfolios to check whether the predictive power is robust. It was found that the FCF yield is a better indicator of future stock returns than the gross profitability. The difference between average monthly returns was significant during all tested time periods and market situations using both long-only and long/short portfolios. The newly introduced FCF profitable value strategy proved to be a better predictor of future stock returns than the profitable value strategy. The FCF profitable value strategy presents also an improvement over the FCF yield strategy. It was found that the FCF profitable value has a better predictive power for future stock returns than the FCF yield at least during some time periods or market situations. JEL Classification G11, G14, G15, G17 Keywords value investing, quality investing, gross profitability, free cash flow yield Author's e-mail...

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Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T09:37:48Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007676 bytes, checksum: 5ab68d6efd7a8606a6f70316ee4c942a (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, The number of pages are incorrect, it's counts from the first page but the number only appear in the introduction. best. Ana Luiza Holme 37993492 on 2016-10-05T12:07:50Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T12:32:36Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1006384 bytes, checksum: 48e705c5c456be0e2cbc6205b85705e4 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, I apologize but I forgot to metion that the abstract is before the resumo. Also is missing the acknowledgment. Warm regards. Ana Luiza Holme 37993492 on 2016-10-05T14:22:17Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T15:22:17Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007025 bytes, checksum: 5cba006abff9b93c7a4de8ca2fd08ecd (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, Only the acknowledgment is missing. Please include in the thesis before the abstract. Best. Ana Luiza Holme 37993492 on 2016-10-05T16:03:07Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T16:31:21Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-05T16:33:13Z (GMT) No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Made available in DSpace on 2016-10-05T17:20:25Z (GMT). No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) Previous issue date: 2016-09-28 / This work project applies Joseph Piotroski’s F_SCORE to the German stock market between 2002 and 2016. Considering the smaller size of the German stock market, a F_SCORE_ADD was created to differentiate between companies with the same score. Portfolios that went long in expected winners and shorted expected losers generated strong results within the small cap sample. For large caps, the abnormality of returns was not significant after controlling for common risk factors and quality. This relates to the results of other researchers and questions the practicality of the investment strategy for institutional investors with a large capital base to employ. / Esta dissertação aplica o F_SCORE de Joseph Piotroski ao mercado de ações alemão entre 2002 e 2016. Por causa do tamanho menor do mercado de ações alemão, um F_SCORE_ADD foi criado para diferenciar entre as empresas com a mesma pontuação. Carteiras que foram 'long' em vencedores esperados e 'short' em perdedores esperados renderam bons resultados dentro da amostra com empresas de baixo valor de mercado. Para as empresas de alta capitalização, a anormalidade de retornos não foi estatisticamente significante após o controle de fatores de risco comuns e qualidade. Isto relaciona-se com os resultados de outros investigadores e questiona a praticidade desta estratégia de investimento para os investidores institucionais com uma grande base de capital para empregar.

Submitted by Pedro Holloway (pedro.holloway@gmail.com) on 2012-05-29T15:33:54Z No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-05-29T15:54:37Z (GMT) No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) / Made available in DSpace on 2012-05-29T15:57:51Z (GMT). No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) Previous issue date: 2012-05-23 / This work contributes to research on value investing in Brazil, analyzing the Brazilian funds that adopt this philosophy. The goal is to identify some of the factors that influence the decisions of managers of value investing to maintain an asset in the portfolio and to buy assets. Other goals are to identify some characteristics about the funds and their adherence to the criteria formalized in the literature. The results show that the variables that influence the manager to maintain an action in the portfolio are: greater stability in earnings per share, high ROA, high gross margin, company size and liquidity of the shares. The index Price / earnings is the only variable that significantly influences the time of purchase in one of the tests. All funds value investing have higher return than the Bovespa index in the sample period, with less risk. Most funds use a few investment instruments - primarily equity and fixed income. / Esta dissertação contribui com as pesquisas sobre value investing no Brasil, analisando os fundos brasileiros que adotam tal filosofia. Seu objetivo é identificar alguns dos fatores que influenciam as decisões dos gestores de value investing a manterem um ativo em sua carteira e a comprarem esses ativos. Secundariamente, é objetivo identificar algumas características sobre os fundos e sua aderência aos critérios formalizados na literatura. Os resultados mostram que as variáveis que influenciam o gestor a manter uma ação na carteira são: maior estabilidade no Lucro por Ação, alto ROA, alta Margem Bruta, tamanho da empresa e liquidez das ações. O índice Preço/Lucro é a única variável que influencia significativamente o momento da compra em um dos testes. Todos os fundos de value investing têm retorno maior que o Ibovespa no período amostral, com menor risco. A maioria dos fundos utiliza poucos instrumentos de investimento – basicamente ações e renda fixa.

This diploma thesis is devoted to the problem of creating a portfolio of shares. First part is focused on the characterization of shares - classes of shares and rights associated with them. The second chapter compares the Efficient market theory and Behavioral approach, as the two opposing schools of thought. The third chapter gradually introduces fundamental analysis, from the global analysis through the analysis of an industry to the analysis of a particular company. Furthermore, this work focuses on the Value investment approach, that is based on fundamental analysis. On the basis of several criteria are particular stocks selected to the portfolio. The intensity of these criteria is then tested in the relationship with the resulting number of selected stocks. The conclusion of the fourth chapter is devoted to the issue of discounts and premiums that are trying to take into account specific factors of securities, which should be reflected into their prices.