Value investing in the Finnish stock market

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Olin, Tomi
dc.date.accessioned 2012-04-05T01:30:28Z
dc.date.available 2012-04-05T01:30:28Z
dc.date.issued 2011
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/3469
dc.description.abstract OBJECTIVES OF THE STUDY The purpose of the thesis is to study a value investing method (i.e. Magic Formula) in the Finnish market. The aim is to find out, if the stocks that are ranked and chosen by this method actually have higher returns in the future than stocks on average. The main objective is to compare the returns of the value portfolios to benchmark index and to see if it can be outperformed. There are five other objectives that will be studied. First, is there a difference between the returns of top ranked stocks and the bottom ranked stocks. Second, what is the optimal holding period for the portfolio, and third, how many stocks should be chosen to maximize the returns. Fourth objective is to compare the volatility and the returns of the portfolios to market portfolio. Last objective is to study whether something is gained if one more factor is added to portfolio ranking. DATA The data for this study consists of 50 to 124 companies, depending on the quarter, listed in Helsinki Stock Exchange between 2000 and 2009. Quarterly report and market data of 40 periods have been used to form two key ratios that are the basis for the stock ranking. All the other sectors except banking are included into the study, and companies are limited so that the minimum market capitalization is ten million. Also the companies that have delisted during the time period or have listed in the middle of the period are included. FINDINGS The findings of this research prove that value premium does exist and the benchmark index can be outperformed. This confirms the results of previous literature. Unlike some other studies suggested, larger portfolios did not necessarily provide higher or more constant returns. In this study, the small portfolios that were based on Magic Formula performed better in shorter holding periods but as composite measure of Magic Formula and Price-to-Book was used, larger portfolios were better. The higher returns of value portfolios are often validated with increased risk. Based on this research the volatility was lower among value portfolios than it was for the index. en
dc.format.extent 62
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Value investing in the Finnish stock market en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Economics en
dc.contributor.department Department of Information and Service Economy en
dc.contributor.department Tieto- ja palvelutalouden laitos fi
dc.subject.keyword value investing
dc.subject.keyword arvosijoittaminen
dc.subject.keyword efficient market hypothesis
dc.subject.keyword tehokkaiden markkinoiden hypoteesi
dc.subject.keyword behavioral finance
dc.subject.keyword magic formula
dc.subject.keyword tekninen analyysi
dc.identifier.urn URN:NBN:fi:aalto-201204061695
dc.type.dcmitype text en
dc.programme.major Information Systems Science en
dc.programme.major Tietojärjestelmätiede fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon tietojärjestelmät
dc.subject.helecon information systems
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon Suomi
dc.subject.helecon Finland
dc.subject.helecon sijoittajat
dc.subject.helecon investors
dc.subject.helecon sijoitukset
dc.subject.helecon investments
dc.subject.helecon tehokkuus
dc.subject.helecon effectiveness
dc.subject.helecon markkinat
dc.subject.helecon markets
dc.subject.helecon arviointi
dc.subject.helecon evaluation
dc.ethesisid 12770
dc.date.dateaccepted 2011-10-19
dc.location P1 I


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