Background: As the goal of most investors is to generate excess returns as compared tothe broad market, different investment strategies to perform such a feat have been studied thoroughly for decades. One strategy which has performed particularly well is the value investment strategy, where securities that appear cheap relative to some of their fundamental values are invested in. More recently, the growth investment strategy, where securities are instead bought if some of their fundamental values are expected to rise rapidly in the future, has caught more attention from investors. As the efficient market hypothesis suggests that no investment strategy should be able to consistently generate excess returns without any luck involved, it is of interest to examine whether the aforementioned strategies act in congruence with the hypothesis. Purpose: The purpose of this study is to analyze if the value and growth investment strategies generate superior returns as well as risk-adjusted excess returns when compared to the Swedish stock market. The study also aims to analyze how the performance of the strategies varies during periods of different market sentiments. Methodology: This study used a quantitative method in its data collection and was conducted using a deductive approach. Six synthetic portfolios were created to test the strategies’ performance. The stocks which constituted the synthetic portfolios were chosen based on their P/E and P/B values from the Refinitiv Eikon platform, and the portfolios were rebalanced annually over the entire analyzed time period. The Swedish All-Share index, OMXSGI, was used as a proxy for the market portfolio. Conclusion: Based on the results of the study, the growth portfolios, more so than the value portfolios, were found to generate greater statistically significant returns as compared to the broad market during the analyzed time period. Although not all portfolios generated excess returns, the study may still add to the evidence that disproves the efficient market hypothesis.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:liu-187003 |
| Date | January 2022 |
| Creators | Forsberg, Beatrice, Sundqvist, Johan |
| Publisher | Linköpings universitet, Produktionsekonomi |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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