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Performance of Value-Investing Strategies: Swedish Evidence, 2000-2010


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Title: Performance of Value-Investing Strategies: Swedish Evidence, 2000-2010
Authors: Eklund, Johan
Issue Date: 25-Jul-2012
Degree: Master 2-years
Series/Report no.: Master Degree Project
2012:93
Keywords: Value-investing
valuation ratios
EBITDA/EV
FCFF/EV
market irrationality
investor overreaction
investor overconfidence
Abstract: The main objective of this study is to provide updated empirical evidence on the risk-return performance of “value-investing” portfolio selection strategies in a survivorship bias controlled setting. We cover non-Financial firms publically traded in Sweden during the time period of July 2000 to June 2010. The study evaluates whether yearly rebalanced value investing strategies outperform the broader market in absolute and risk-adjusted total returns and whether “glamour” strategies, the opposi... more
Description: MSc in Finance
URI: http://hdl.handle.net/2077/29995
Appears in Collections:Master theses

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