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Alternativa investeringsstrategier: En kvantitativ undersökning av småbolag, värdebolag och momentumeffekten på den svenska aktiemarknaden
Södertörn University, School of Social Sciences.
Södertörn University, School of Social Sciences.
2014 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Problembakgrund: Den traditionella investeringsstrategin består av bland annat Modern Portföljvalsteori och Capital Asset Pricing Model, men på grund av empiriska problem efterfrågas alternativa investeringsstrategier. Denalternativa investeringsstrategini denna uppsats består av småbolags-, värdebolags- och momentumeffekt. Detta innebär att forskning visat att investering i småbolag tenderar att ge högreavkastning än i stora bolag, att företag med högt värde tenderar att ge högre avkastning än tillväxtbolag och att man bör satsa på förra årets kursvinnare.

Syftet: Syftet med denna uppsats är jämföra, småbolag med stora bolag, värdebolag med tillväxt bolag och årets kursvinnare med årets kursförlorare, på den svenska marknaden för åren 1996-2012, för att se om den ena ger högre avkastning än den andra. Vi vill se huruvida dessa effekter finns på den svenska marknaden.

Metod: Vi har använt en kvantitativ studie och jämfört avkastningen mellan de båda grupperna. För att sedan se om vi finner någon signifikant skillnad har ett T-test använts. Vi har använt de noterade aktierna påStockholmbörsens huvudlista för åren 1996-2012.

Slutsats: De slutsatser som kan dras av denna undersökning är att småbolags-, värdebolags- ochmomentumeffekten inte existerar på den svenska marknaden för perioden 1996-2012. För vidare forskning rekommenderar vi att även andra listor än huvudmarknaden inkluderas.

Abstract [en]

Background Information: Modern Portfolio Theory and Capital Asset Pricing Model belong to the traditional investment strategy, which has been practiced by many around the world. However due to its empirical problems, has there been demands for alternatives.

The alternative investment strategies that will be presented in this essay are small stocks-, value stocks-, and momentum-effect. Earlier research has shown that small stocks tends to provide higher returns than big stocks, the same goes for when comparing value stocks against growth stocks, and winner stocks against loser stocks.

Aim: The aim of this essay is to evaluate small stocks-, value stocks-, and momentum-effect on the Swedish stock market during year 1996-2012, by comparing the top and bottom group from each respective effects to see if there is any differences.

Method: These following measurements (company’s market equity, book equity/market equity ratio and yearly change of stock prices) are used in order to evaluate the small stocks-, value stocks-, and momentumeffect respectively.

The stocks that were registered on Stockholm’s Main Stock Market during year 1996-2012 are ranked accordingly to the three measurements, only the top’s 30% and bottom’s 30% stocks will be used to form portfolios.

After one top and one bottom portfolio from each effect (so 6 portfolios in total) were constructed, their average yearly return was then compared with each other.

Conclusion: The results showed 0%, 9% and 7% differences in return between the top and bottom portfolios from small stocks-, value stocks-, and momentum-effect respectively. However the differences found between the top and bottom portfolios, were found to be not significant when using T-test.

Since there were no significant differences between the top and bottom group from all three effects, we come to the conclusion that the small stocks-, value stocks-, and momentum-effect did not exist on the Swedish stock market during year 1996-2012.

Place, publisher, year, edition, pages
2014. , 25 p.
Keyword [sv]
småbolagseffekt, Banz, värdeeffekt, Rosenberg, momentumeffekten, Jegadeesh, CAPM, aktiemarknad
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-24453OAI: oai:DiVA.org:sh-24453DiVA: diva2:741297
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2014-08-28 Created: 2014-08-27 Last updated: 2014-10-10Bibliographically approved

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