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Monkey Strategy: Swinging through the Capital Anomaly Jungle
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Market Anomalies, Effecient Market Hypothesis (EMH), Piotroski, F_SCORE, Price-to-earnings, Investment Strategy, Abnormal Return, New York Stock Exchange
Keyword [sv]
Kapitalmarknadsanomalier, Den Effektiva Marknadshypotesen, Piotroski, F_SCORE, Price-to-earnings, Investeringsstrategi, Onormal avkastning, New York Stock Exchange
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-194802OAI: oai:DiVA.org:uu-194802DiVA: diva2:606564
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2013-02-20 Created: 2013-02-19 Last updated: 2013-02-20Bibliographically approved

Open Access in DiVA

Arvidsson, C., Gudrais, T, 2013. ”Monkey Strategy, Swinging through the Capital Anomaly Jungle”.(807 kB)421 downloads
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Type fulltextMimetype application/pdf

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Citation style
  • apa
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Language
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Output format
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