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[pt] O objetivo do presente trabalho é analisar o desempenho da estratégia de investimento Dogs of Dow (DoD) nos mercados latinos americanos no período de 1995 a 2011 bem como determinar se tal desempenho é discrepante em momentos de crise e crescimento econômico. Foram analisados os seguintes mercados: Argentina, Brasil, Chile, Colômbia, México e Peru. Os resultados demonstram que a estratégia DoD possuiu um desempenho superior ao mercado, antes e após ajustar ao risco, em todos os países à exceção do México no período analisado. Os resultados são significativos do ponto de vista estatístico como econômico. Em geral, o desempenho nos sub-períodos apresentou-se em linha com o desempenho no período todo, indicando que, tanto em momentos de crise como de crescimento, as estratégias DoD tem retorno superior ao mercado. / [en] The goal of this study is to analyze the performance of the Dogs of Dow (DoD) investment strategy in Latin American stock markets from 1995 to 2011 and also determine if the performance varies on growth and recession periods. The following countries were analyzed: Argentina, Brazil, Chile, Colombia, Mexico and Peru. Our findings suggest that the DoD outperforms the market, on an absolute and on a risk-adjusted basis, in all Latin American countries except Mexico. The results are significant in both statistical and economic terms. In general, the performance of DoD in different sub-periods is in line with the overall period, indicating that the DoD has a superior performance in both growth and recession periods.

This study evaluates the performance of Growth and Value Stock Investment Strategies and investigates the relative performance of these two types of stocks in Denmark and Finland. The research compares the historical returns and consequences of investing in value and growth stocks and examines the factors that drive their performance. The research questions focus on whether there is a significant difference in performance between value stocks portfolios and growth stocks portfolios. The study uses a deductive approach and a quantitative research design to analyze numerical data collected mainly from Thomson Reuters Eikon Datastream. Microsoft Excel and SPSS Statistics were the main tools used to form samples to process and analyze the data. The samples consist of listed stocks on the Danish and Finnish stock markets, and the portfolios are divided based on their Price-to-Book ratios and Price-To-Earnings ratios. The evaluated years are divided into four sub-periods to reflect different economic conditions. The findings suggest that there were significant differences in the performance of value and growth portfolios in the Finnish market during specific sub-periods, while in Denmark, there were no significant differences in returns between portfolios consisting of value stocks and portfolios consisting of growth stocks in all sub-periods, except for sub-period 3. The performance of the portfolios may be affected by factors such as interest rates, financial distress, and economic conditions in various sectors of the economy. The study's results can provide investors with insights into the relative performance of growth and value stocks and help them make informed decisions about stock allocation when forming portfolios, enhancing their investment strategies.

LL.M. (Commercial Law) / Please refer to full text to view abstract.

This paper uses a fundamental investment strategy model developed by Piotroski (2000), called F_SCORE. The model uses accounting-based ratios applied for portfolios of high book-to-market firms. The aim of the study is to test the model for the US stock market during the years 1998-2015, as well as to develop it. The first test uses the original model during the specified time period. The next step is to develop the model by using correlations between each of the signals and future returns that Piotroski (2000) has proven to exist. The test showed that the F_SCORE outperforms the market during the time period. In the developed model the return can be increased even further. The result shows that the market adjusted return can be increased by an average of 24.7 % annually. The developed model thereby generates a better market adjusted return than Piotroski's original model. / Följande examensarbete använder en fundamental investeringsstrategi framtagen av Piotroski (2000) som benämns F_SCORE. Strategin har sin utgångspunkt i finansiella rapporter gällande företag med höga book-to-market. Syftet med studien är att testa modellen för den amerikanska marknaden under åren 1998–2015, samt utveckla den. Det första testet använder ursprungsmodellen under den angivna tidsperioden. I nästa steg utvecklas modellen genom att hänsyn tas till respektive nyckeltals korrelation med avkastning som Piotroski (2000) visat existerar. Testet visade att F_SCORE överträffar marknaden under den valda tidsperioden. I den utvecklade modellen gick det att öka avkastningen ytterligare. Resultatet visar att det går att öka den marknadsjusterade avkastningen med i genomsnitt 24,7 % per år. Den utvecklade modellen genererar därmed en bättre marknadsjusterad avkastning än Piotroskis originalmodell.

Bakgrund: Något som många privatpersoner upplever svårt, är att välja aktier att investera i bland de tusentals som finns noterade på  aktiemarknader runt om i världen. Enbart på Stockholmsbörsen i Sverige finns det enligt Nasdaq OMX (2010) 288 stycken noterade aktier att välja mellan på huvudlistorna. En investerare har idag även tillgång till mycket information om företagen vilket bidrar till att det blir svårt att sortera bort vad som är oviktigt. Då målet för många investerare är att slå index är det intressant att titta på investeringsstrategier som kan tänkas slå index på längre sikt. Syfte: Syftet med studien är att undersöka investeringsstrategier på Stockholmsbörsen baserade på nyckeltalen P/E-talet, P/S-talet, P/BV-talet och direktavkastning. Detta för att komma fram till om det är det möjligt att generera överavkastning genom att följa någon eller några av dessa och om det visar sig stämma, komma fram till vilket eller vilka nyckeltal som är att föredra. Metod: Studien bygger på en kvantitativ metod där fyra nyckeltal har undersökts. Resultat: Studiens resultat visar på att det är möjligt att generera överavkastning gentemot index genom att följa en investeringsstrategi baserad på de studerade nyckeltalen. Av strategier som ingår i studien var det de baserade på värdebolag som överlag genererade den högsta avkastningen, både före och efter justering för risk. Därigenom visar studien på att investera i värdebolag gentemot tillväxtbolag är att föredra. Resultatet av studien ger också tecken på att den svenska aktiemarknaden inte är fullt effektiv utan att det förmodligen finns ett inslag av irrationalitet på den. / Background: Something that many individuals finds difficult, is to choose which shares they should invest in among the thousands of listed stocks on stock markets around the world. Only on the Stockholm Stock Exchange in Sweden, there are according to Nasdaq OMX (2010) 288 stocks listed to choose from on the main lists. An investor nowadays also has access to an amount of information about companies that makes it difficult to sort out what is important and not. With the aim of many investors being to beat the index, it is interesting to look at investment strategies that may beat the index over the long term. Aim: The purpose of this study is to study investment strategies on the Stockholm Stock Exchange based on the following financial ratios P/E ratio, P/S ratio, P/BV ratio and dividend yield. This is to investigate if it is possible to generate excess returns by following any of these and if it proves corrects, to choose which of these ratios are preferable to use as investment strategy. Methodology: The study is based on a quantitative method in which four financial ratios were examined. Results: The results show that it is possible to generate abnormal returns exceeding that of index by adopting an investment strategy based on the studied ratios. Of the studied strategies those based on value stocks generally generated the highest returns, both before and after adjustment for risk. This study shows that an investment in value stocks is preferable to one in growth stocks. The result of this study also provides evidence that the Swedish stock market may not be fully efficient and probably is affected by irrationality.

A high return is a driving factor for most investors. The ways to reach success are many and different investment strategies on how to earn high returns have been discussed for decades. Value stocks (low P/E ratios) and growth stocks (high P/E ratios) are two strategies among the investment area with different and contrary results on which strategy can give the highest possible return. However, studies of the P/E effect have shown different results the last years compared to previous findings of a value premium for low P/E stocks, with trends of a higher return for growth stocks compared to value stocks. This led us to the research question “Does a portfolio of growth stocks present a higher return than a portfolio with value stocks on the Swedish and Norwegian stock markets?”. The problem that the study aims to answer is therefore if a portfolio of growth stocks provides a higher return than a portfolio of value stocks between the years 2001-2021. The long timespan will give us the opportunity to evaluate the stock markets during both booms and busts. Our study is made on historical data on the Swedish and the Norwegian stock markets since we found a lack of previous research in these countries within the research area. To fulfil the purpose of the study and to answer the research question, a quantitative method is used with historical data provided from Eikon (Thomson Reuters DataStream) where firms are sorted on the P/E ratios and after that growth and value portfolios are created. We will present both the actual return as well as a risk adjusted return for the stocks. The risk adjusted returns are conducted by using the financial measurements Sharpe ratio and Jensen’s alpha. The result of the study shows that on a 5 % significance level, growth stocks presented a higher actual return than value stocks for both Sweden and Norway. The same evidence was found for the returns for growth stocks compared to market index. Though, when testing the risk adjusted returns, the null hypothesis could not be rejected, which implies that a statistical difference between the portfolios could not be found.

A consensus exists in the body of academic literature that stocks with high BE/ME characteristics outperform stocks with low BE/ME characteristics. Researchers disagree, however, as to the cause of the phenomenon. Two competing theories have emerged. The value premium originates either from the relative riskiness of high BE/ME value and low BE/ME growth stocks or from the persistent irrational pricing of those stocks. Market participants question whether the long lineage of academic research showing the existence of the value premium can actually be applied to their portfolio decision-making. The lack of a pervasive value premium across stock size strata suggests the return phenomenon may result from information asymmetry or trading noise, and not from the pricing of greater risk. The value premium appears to be exclusively available to market participants who can effectively navigate the smallest, most illiquid segment of the stock market. In other words, the value premium does not appear to be available to large institutional investors.

Made available in DSpace on 2016-03-15T19:25:58Z (GMT). No. of bitstreams: 1 Sergio de Bona.pdf: 464852 bytes, checksum: d485200ef19b70fdccd333d296f27448 (MD5) Previous issue date: 2012-08-13 / Fundo Mackenzie de Pesquisa / The Brazilian economy has experienced significant structural changes that have caused the Central Bank of Brazil to reduce interest rates. In addition to maintaining inflation rate close to target for the country it has contributed to the reduction of risks premiums. In this context of low interest rates and risks, evaluation and study of value (high book-to-market ratio) and growth (low book-to-market) type stock portfolios may represent a decisive factor in achieving superior financial returns. As discussed and researched in international markets, we analyzed in the Brazilian market if value stock portfolios have higher returns than growth type when maintained for long term, on a one-year basis. Faced with this prospect, this study analyzed and compared, based on the methodology proposed by Fama and French (1992, 1993), the performance of value and growth type portfolios built from the stocks that comprise the IBrX-50 of the São Paulo Stock Exchange, for the period from 2003 to 2011. For the statistical analysis of the portfolio s returns we used the three-factor pricing model: the market risk (beta), as defined by CAPM, the company size, measured by the market value of the stocks and the book-to-market index, represented by the ratio between the company s books and the market value of equity. The results demonstrated that investments in the value type portfolios in Brazil during this period have provided higher returns than investments in growth type, confirming also the perspective and results from Fama and French s (1992) analysis and published studies in international markets and Brazilian market. This confirmation may result in investment opportunities for investors and financial players on the market. / A economia brasileira tem apresentado mudanças estruturais significativas que tem determinado de parte do Banco Central do Brasil a redução das taxas de juros. Adicionalmente a manutenção da taxa de inflação próxima da meta estabelecida para o país tem contribuído para a redução dos prêmios de risco. Neste contexto de baixos juros e riscos, a avaliação e estudo das carteiras compostas por ações do tipo valor (alta relação livro-mercado) e crescimento (baixa relação livro-mercado) pode representar um fator decisivo para obtenção de retornos financeiros superiores. Assim como analisado e pesquisado em mercados internacionais, buscou-se analisar no mercado brasileiro se as carteiras compostas por ações do tipo valor apresentam retornos maiores do que as do tipo crescimento quando mantidas no longo prazo por períodos de um ano. Diante de tal perspectiva, este estudo analisou e comparou, com base na metodologia proposta por Fama e French (1992, 1993) o desempenho de carteiras do tipo valor e crescimento formadas a partir das ações que compõem o índice IBrX-50 da Bolsa de Valores de São Paulo, tomando como base o período de 2003 a 2011. Para a análise estatística dos retornos das carteiras utilizou-se o modelo de três fatores: o risco mercado (beta), conforme definido no CAPM; o tamanho da empresa, medido pelo valor de mercado das ações e o índice book-to-market, que representa a relação entre o valor contábil e o valor de mercado do patrimônio líquido. O resultado foi que os investimentos em carteiras do tipo valor no Brasil, durante este período, incorreram em retornos superiores aos investimentos em carteiras do tipo crescimento, confirmando assim a perspectiva e resultados de análise realizada por Fama e French (1992) e de outros estudos realizados tanto para os mercados internacionais quanto para o mercado brasileiro. Esta confirmação pode resultar em oportunidades de investimentos aos investidores e agentes financeiros do mercado.