Διαχείριση χαρτοφυλακίου: στρατηγικές αξίας
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Keywords
Value investing ; Αποτίμηση ; Απόδοση χαρτοφυλακίου ; Beta ; Risk free rate ; T-Test ; Δείκτης Treynor ; Warren BuffettAbstract
The present dissertation aims to examine whether a portfolio consisting of shares with low P/E or/and PTBV ratios, the performance of which is evaluated in an approach of the value investing strategy, will yield more than a portfolio consisting of shares with P/E or/and PTBV ratios above the average, the performance of which is evaluated with the buy and hold strategy. The study will be done indicatively for the years 2011 to 2015. For this approach, the following procedures will be followed. We will use shares of NASDAQ and FTSE350 indices. Then we will create two portfolios for each year, one with shares with low ratios (P/E, PTBV) and the other with shares with ratios (P/E, PTBV) above average. The return of each portfolio, for all the years of testing period, the beta of the portfolios and the TREYNOR ratios, are calculated. At the end, a statistical t-test is performed and a conclusion is drawn. Having done the empirical analysis of the portfolios, we conclude that, although the portfolios of low ratios shares (P/E, PTBV), seem to perform better, both in most years and in the whole of the five years, this is not statistically significant, therefore the chances of it being due to a random event are increased. However, the complexity of investment methods and the conditions of the economy are what influence the final decision of investors. Investors are the ones who have the last word in the choice of shares as well as the methods of returns’ valuation.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
78Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές