Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

The problem associated with value shares is that they may remain undervalued for an extended period of time. Therefore, determining when to buy value shares has been the focus of many investors and academics. Studies have determined fundamentals provide valuable information when selecting shares while price momentum provides a decent timing indicator. This research examines a novel share selection approach which seeks to combine fundamentals with momentum to obtain a leading timing indicator.This research seeks to determine if the fundamental momentum indicator can successfully and consistently separate value winners from value losers. The value portfolios were formed using a composite valuation measure made of three separate indicators. The Value portfolio was then ranked based on the strength of the fundamental momentum indicator.This research identified that Leverage Factor and Current Ratio momentum was able to separate value winners from losers in a consistent manner. However, only Current Ratio momentum was capable of creating portfolios which could consistently outperform the market. Therefore, this research identified that fundamental momentum could be used as a timing indicator when acquiring value shares. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Les PME jouent un rôle important dans l’économie Mexicaine et elles sont une source d’emplois locaux pour le pays. Mais leur durée de vie est menacée parce qu’elles ont des difficultés à se maintenir en activité et à développer une performance sociale et économique en face des exigences toujours plus grandes de compétitivité entraînées par la mondialisation. Cependant, une de leurs qualités est la flexibilité qui s’accompagne souvent d’une structure familiale. Le dernier aspect n’est pas sans présenter des inconvénients quant à l’attitude des dirigeants et leur mode de sélection et d’apprentissage qui ne privilégie pas les qualités de négociateur. Ceci génère souvent des structures centralisées ne favorisant pas la recherche de consensus avec les autres acteurs de l’entreprise ainsi que des comportements participatifs tant individuels qu’entre les groupes.Les PME constituent le champ de recherche ; car le problème primordial des PME est l’absence de prévision sur le futur de l’entreprise. Le propriétaire-dirigeant de la PME est totalement concentré sur l’activité opérationnelle à court terme, au détriment des activités à plus forte valeur ajoutée et des réflexions stratégiques, principalement sur le développement du potentiel humain parce qu’il constitue un levier de changements socio-économiques capital pour l’avenir de l’entreprise.Notre hypothèse de recherche consiste à proposer des voies d’amélioration de leur niveau de compétitivité internationale par la formulation de stratégies proactives qui auront pour effet de diminuer les coûts cachés et de contribuer au développement socio-économique de l’organisation.Pour le recueil de données de recherche, nous appliquons une méthodologie de recherche-intervention dans trois PME mexicaines, à partir d’une observation scientifique de la gestion et de l’interactivité cognitive entre l’intervenant-chercheur et tous les acteurs de l’organisation y compris le propriétaire-dirigeant. L’objectif de la recherche-intervention, dans la théorie socio-économique est de générer une transformation profonde des les structures et des comportements des PME. / SME play a big role in the mexican economy and they are a source of local employment for the country. But their lifespan is threatened because they havedifficulties of being maintained in activity and to develop a social and economic performance opposite the increasingly larger requirements of competitiveness pulled by globalisation. However, one of their qualities and reflection is often accompanied by a family structure. The last aspect is not presenting advantages as for the attitude of the leaders and their mode of selection and training which does not privilege qualities as a negotiator.This often generates centralized structures not supporting research of consensus with the other actors of the company as well as participative behaviors so much individual which enters the groups. SME constitute the research field; because the paramount problem of SME is the absence of forecast on the future of the company. The owner-leader of SME is completely concentrated on the short-term operational activity, with the detriment of the activities with stronger added value and the strategic reflections, mainly on the development of the human resources because it constitutes a lever of socio-economicchanges for the future of the company. Our assumption of research consists in proposing ways of improvement of their level ofinternational competitiveness by the formulation of proactive strategies which willcause to reduce the hidden costs and to contribute to the socio-economic developmentof the organization. For the collection of data of research, we apply a methodology of research-intervention in three Mexican SME, starting from a scientific observation of management and cognitive interactivity enters the speaker-researcher and all the actors of theorganization including the owner-leader.The objective of the research-intervention, in the socio-economic theory is to generate amajor transformation as of the structures and behaviors of SME.

近年來，許多學者將市價與會計資料的比值作為區分價值型與成長型股票的指標，並實證研究兩者的報酬是否有差異，結果顯示價值型股票的報酬表現確實比成長型股票要好，其中以價值型股票型股票為投資標的的策略就稱之為價值導向投資策略，而獲實證支持用來作為區分指標的比值則包括市價／盈餘比、市價／淨值比與市價／銷貨比。 就價值導向投資策略而言，投資人主要就是要找出價格被低估的股票進行投資以獲取利潤，以往使用的方法多是個別從三個指標中選出比值較低的股票，亦即價格相對偏低的股票形成投資組合，但是價格偏低的股票並不見得都是價值被低估的股票，其中不乏公司本質不好，潛藏危機造成的價格下降，而非價值被低估的股票，因此本研究試圖從雙重價值因素分類、公司營運面、財務結構面與市場流動性四方面來強化價值導向投資策略。 本文分兩部分進行研究，首先運用已獲國外實證支持的價值導向指標，針對國內市場進行模擬投資分析，其中將投資標的區分為所有公司、大型股與小型股，研究不同公司規模下，傳統價值導向投資策略的有效性；第二部份則針對傳統的價值型投資組合加入強化指標，研究強化的價值導向投資策略是否可以提昇原有組合的報酬表現，以提供國內投資人投資股票時參考的指標。 主要實證結果如下： (一)依據市價／盈餘比、市價／淨值比、市價／銷貨比(P/E、P/B、P/S)三個價格比率形成的投資組合中，不論投資期間長短、風險調整前或調整後的報酬率，市價／淨值比與市價／銷貨比的低比值組的表現都優於高比值組及市場組合，而市價／盈餘比的表現則是風險調整前後有所不同，在風險調整前，市價／盈餘比負值組的報酬表現最好，不過在風險調整後，由於負值組的報酬率波動很大，因此表現不再是最好，反而是原本平均報酬並不高的正的市價／盈餘比最低組，在風險調整報酬率的表現最好。 (二)價值導向投資策略在大型股與小型股的有效性有不一致的結果，在大型股中，以市價／淨值比區分時，比值最低組不論是在風險調整前或調整後，報酬表現都是最好；以市價／盈餘比區分時，正的市價／盈餘比最低組表現最好，負值組因為樣本過小，報酬的代表性較低；而市價／銷貨比的低比值組雖然也是優於高比值組與市場組合，但是並未達到顯著水準。另外在小型股中，低市價／淨值比的表現並未優於高比值組，而市價／盈餘比的表現則是長短期不同，在每年重組一次下，正的市價／盈餘比最低組表現是最好的，不過長期間仍以負值組的表現較好。至於市價／銷貨比的表現則並未十分突出。 (三)就三個價值導向投資指標來說，以所有公司為投資標的時，市價／銷貨比的績效最佳，因為銷貨無法窗飾，較能代表公司的營運狀況；以大型股為投資標的時，以市價／淨值比的績效最佳，因為市價／淨值比隱含了公司過去的營業表現，對已經進入成熟期的公司來說，較能正確區分出被低估的股票；以小型股為投資標的時，短期以正的市價／盈餘比最低組的績效最佳，長期則是市價／盈餘比負值組表現最好，因為小型股財務彈性小，發生虧損時，會有週轉不靈的危機，因此第一年報酬表現反映投資人的疑慮，若度過短期危機存活下來，公司營運好轉，長期的報酬會有不錯的表現。 (四)以雙重價值因素配對分類股票來強化價值導向投資策略時，除了低市價／銷貨比與市價／盈餘比為負值的配對分類結果優於單一因素的表現外，其他組合都無法有效的增加單一因素價值型投資組合的績效表現，不過由於樣本數過少的關係，代表性可能不高，因此嚴格來說，雙重價值因素並無法強化單一因素的價值導向投資策略。 (五)考量公司營運面的表現，分別在依據市價／盈餘比、市價／淨值比、市價／銷貨比形成的價值型投資組合中加入盈餘成長率、淨值報酬率、銷貨邊際利潤率等因素，剔除各比率的最低組以強化價值導向投資策略，結果發現只有在低市價／盈餘比之價值型投資組合中剔除盈餘成長率最低組可以提昇投資績效。 (六)考量財務結構面的影響，在價值型投資組合中剔除負債比率最高組後，結果發現只有市價／盈餘比負值組與市價／淨值比最低組在剔除負債比率最高組後，新組合的報酬表現優於原組合的表現，可以有效提昇投資績效。 (七)針對市場流動性的考量，由於週轉率高的股票代表流動性高，往往是投資人及分析師注意的焦點股，透過熱絡的交易，這類股票的股價多半已反應其真實價值，而週轉率低的股票代表流動性，較不受投資人注意，價值真正被低估機率增加，因此剔除價值型投資組合中週轉率最高組以增進投資績效，結果發現三種指標的價值型投資組合在剔除週轉率最高組後，都能有效地提昇原組合的報酬表現。 (八)實證結果顯示，在上述的四個強化指標中，負債比率與週轉率的表現較好，其中週轉率並非屬於長期因素，適合中短期投資人，負債比率則是長期表現較週轉率好，屬於基本面因素，投資人可依其投資期間的長短選擇適當的投資策略。 / Recently many scholars divide stocks into value and glamour stocks according to ratios of stock price and accounting data, and examine if there is difference between returns of two types. Their results show that value stocks outperform glamour stocks, and investment in value stocks is called value strategies. These value strategies call for buying stocks that have low prices relative to earnings, book value and sales. Value strategies means to invest in undervalued stocks, but not all the stocks with low ratio are undervalued stocks, it could be distress stock. In this article, I try to enhance value strategies through four aspects, including two value factors, operating side, financial structure side and market liquidity side. My results show that traditional value strategies succeed in all stocks and large stocks, but fail in small atocks. Besides, for enhanced value strategies, enhancement through financial structure side and market liquidity side can improve performance of traditional value strategies.