Monkey Strategy: Swinging through the Capital Anomaly Jungle
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
The aim of this paper is to test whether an investment strategy originally created by Piotroski (2000), can be refined by combining it with the price-to-earnings-anomaly. In detail, we accomplish this by implementing Piotroskis F_SCORE-model to identify and consequently separate financially weak- and strong firms. Furthermore, we create an investment portfolio based on a combination of the highest rated companies according to the F_SCORE-model, and the most undervalued companies from the price-to-earnings-anomaly, to create a joint investment strategy (M_STRAT). This is carried out during the time-period 1999-2009, while reconstructing the portfolio annually. The results of our study show that, by combining the two models, we are able to achieve a market-adjusted return of 44,1%, hence amplifying the original F_SCORE-model by 17%.
Place, publisher, year, edition, pages
2013. , 32 p.
Market Anomalies, Effecient Market Hypothesis (EMH), Piotroski, F_SCORE, Price-to-earnings, Investment Strategy, Abnormal Return, New York Stock Exchange
Kapitalmarknadsanomalier, Den Effektiva Marknadshypotesen, Piotroski, F_SCORE, Price-to-earnings, Investeringsstrategi, Onormal avkastning, New York Stock Exchange
IdentifiersURN: urn:nbn:se:uu:diva-194802OAI: oai:DiVA.org:uu-194802DiVA: diva2:606564
Subject / course
UppsokSocial and Behavioural Science, Law
Forsberg, Per, Docent