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Relevance of Value Investing in Developed Financial Markets

Medved, Jon
Master thesis
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2288306.pdf (1.917Mb)
PTR Jon Medved.pdf (650.1Kb)
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http://hdl.handle.net/11250/2622596
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1117]
Sammendrag
This paper researches if Value Investing is an efficient approach as an

investment management framework. The focus is on the large market

capitalization stock market in the United States. The tested period is from the

beginning of 2007 until the beginning of 2019. 6 portfolios based on the

fundamental analysis were created and tested with the holding period of 5 years.

The theory is based on the Efficient Market Hypothesis (EMH), Modern Portfolio

Theory (MPT), and on the Value Investing Theory, which is one of the

fundamental analysis techniques. According to the findings, it is impossible to

accept the EMH, and the findings steer towards the Value Investing as being an

approach with a potential to deliver positive Alpha. Furthermore, a distinction

between Value Stocks and Value Investing is made, as often those two terms are

used interchangeably. The performance analysis of Berkshire Hathaway steers

towards the finding that it is much harder to deliver superior results based on the

Value Investing approach when the investing is done on a very large scale, as in

the 1980 class A stock price was less than 300 USD, in 1990 roughly 7.000 USD

and in the beginning of 2019 311.000 USD (the numbers are comparable, since

the class A stock was never split). Furthermore, the market capitalization in 2018

it exceeded 500 billion dollars. Economically and statistically significant

diminishing Jensen’s Alpha suggests that the superior returns could be inversely

related to the market size.
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Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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