| | SLO | ENG | Cookies and privacy

Bigger font | Smaller font
First page > Show document

Show document Help

Title:VREDNOSTNO INVESTIRANJE
Authors:ID Krajnc, Simon (Author)
ID Zbašnik, Dušan (Mentor) More about this mentor... New window
Files:.pdf MAG_Krajnc_Simon_2013.pdf (2,34 MB)
MD5: 9EE7D9C2F1D83BDA47862F5067AE9D1B
PID: 20.500.12556/dkum/063da64c-d5c1-4e74-9e8f-1f6f77175b28
 
Language:Slovenian
Work type:Master's thesis
Typology:2.09 - Master's Thesis
Organization:EPF - Faculty of Business and Economics
Abstract:Namen raziskave je ugotoviti, ali strategija vrednostnega investiranja drži tako s teoretičnega kot tudi praktičnega vidika. Raziskava je razdeljena na dva dela. V prvem delu je podana teoretična razlaga; v poglavju 1 opisujemo sodobno finančno teorijo, ki bazira na neoklasični ekonomiji in predvideva, da je posameznik nenaklonjen tveganju, da ima popolne informacije in se osredotoča na maksimiranje osebne koristnosti. Takšno obnašanje vodi k učinkovitim tržnim razmeram, kjer cene odražajo vse dosegljive informacije. Upravljavci premoženja se lahko osredotočijo na sestavo učinkovitih portfeljev na parabolični meji učinkovitosti, kjer se nahajajo portfelji, ki ob pričakovanem donosu in sprejemljivem tveganju zadovoljijo posameznikove individualne cilje in omejitve. V nadaljevanju magistrskega dela je predstavljena tudi premica trga kapitala (SML), ki kaže na razmerje med tveganjem in zahtevano donosnostjo posamezne naložbe. Vendar, če trenutne cene notranje vrednosti naložbe ne odražajo pravilno, je z modelom nekaj narobe. Tako v poglavju 2 predstavimo vedenjske finance, ki postavljajo sodobno finančno teorijo pod vprašanje. Vedenjske finance obravnavajo vedenje tržnih udeležencev in vpliv psiholoških dejavnikov na delovanje trga. Boljše razumevanje vedenjskih pristranskosti posameznega udeleženca pripomore k učinkovitejši sestavi portfelja v primerjavi s portfelji, ki temeljijo na predpostavkah sodobne finančne teorije. Poglavje 3 podrobneje obravnava strategijo vrednostnega investiranja. Vlagatelj, ki se poslužuje strategije vrednostnega investiranja, oceni notranjo vrednost delnice podjetja in to primerja s trenutno ceno na borzi. Če je cena na borzi nižja od notranje vrednosti podjetja za vrednost varnostnega faktorja ali marže, se vlagatelj odloči za nakup. Delnice podjetij z oznako "value" ponavadi spremljajo nizka vrednost kazalnika cena/dobiček na delnico, visoka vrednost kazalnika knjigovodska vrednost/cena na delnico in nizka vrednost kazalnika cena/dividenda na delnico. V poglavju 3 predstavimo tudi številne empirične raziskave na temo vrednostnega investiranja in različne razlage o tem, zakaj prihaja do odstopanj v donosih med različnimi strategijami. Veliko raziskav postavlja v ospredje vedenjske pristranskosti kot enega glavnih razlogov, zaradi katerega prihaja do razlik v donosnosti različnih strategij investiranja. V drugem delu raziskave preverjamo donosnost različnih delniških indeksov (S&P 500, S&P Value in S&P Growth) skozi različna obdobja (3, 5, 7, 10 in 15 let) s pričetkom v letu 1997 in s koncem opazovanega obdobja v letu 2012. Za potrebe raziskave izračunamo letne donose posameznih indeksov, standardne odklone, Sharpov koeficient, Sortinov koeficient in Treynorjev koeficient. Rezultat raziskave pokaže, da dosežejo "value" delnice v povprečju višje donose; razen ob koncu 90-ih v času tehnološkega balona in v letih po začetku finančne krize v letu 2007. Številni dokazi govorijo tudi v prid hipotezi, ki trdi, da "value" delnice niso nič bolj tvegane v primerjavi z delnicami hitro rastočih podjetij.
Keywords:sodobna finančna teorija, vedenjske finance, vrednostno investiranje, notranja vrednost podjetja, delnica hitro rastočega podjetja, varnostni faktor
Place of publishing:[Maribor
Publisher:S. Krajnc
Year of publishing:2013
PID:20.500.12556/DKUM-39780 New window
UDC:658.14/.17
COBISS.SI-ID:11498524 New window
NUK URN:URN:SI:UM:DK:ZLGDT0MU
Publication date in DKUM:11.10.2013
Views:2111
Downloads:272
Metadata:XML DC-XML DC-RDF
Categories:EPF
:
Copy citation
  
Average score:(0 votes)
Your score:Voting is allowed only for logged in users.
Share:Bookmark and Share



Hover the mouse pointer over a document title to show the abstract or click on the title to get all document metadata.

Secondary language

Language:English
Title:VALUE INVESTING
Abstract:The goal of a study is to determine whether the value investing works both theoretically and empirically. This paper is divided in two more significant parts. The first part consists of theoretical basis; in Chapter 1 we describe the traditional finance, which is based on neoclassical economics and assumes individuals are risk-averse, have perfect information, and focus on maximizing their personal utility function. Such behavior leads to efficient markets where prices reflect available, pertinent information. Portfolio managers can focus on identifying efficient portfolios on the efficient frontier that meet the client`s objectives of risk and return while also observing the investor`s constraints. We also demonstrate the creation of a security market line (SML) that visually represents the relationship between risk and the expected or the required rate of return on an asset. However, if prices are not correctly reflecting intrinsic value, or at least providing the best indication possible, this approach to portfolio management is flawed. In Chapter 2 we present behavioral finance, which challenges these traditional finance notions. Behavioral finance looks at normal behavior of individual market participants and the effect of such behavior on markets. A better understanding of the biases of individual market participants should allow for the construction of portfolios that better approximate the efficiency of traditional finance. Chapter 3 provides more detailed discussion on value investing. A value investor estimates the fundamental value of a financial security and compares that value to the current market price. If price is lower than value by a sufficient margin of safety, the value investor buys the security. Value stocks have low price-to-earnings ratios, high book-to-market values, and low price-to-dividends ratios. In Chapter 3 we also review the empirical research on value investing and discuss the various explanations for the performance of value versus growth stocks. A lot of studies have offered behavioral explanations, identifying the value and growth anomalies as a mispricing rather than an adjustment for risk. Our study on the profitability of investment strategies in the second part of research is conducted on a sample of various stock indices (S&P 500, S&P Value and S&P Growth). The observation periods are 3, 5, 7, 10 and 15 years, beginning with 1997 and ending 2012. When analyzing the performance of indices we calculate the yearly returns, standard deviation, Sharpe ratios, Sortino ratios and Treynor ratios. We find out that value stocks, on average, earn higher returns than growth stocks (the exception is late 90s-bubble in technology and in the years after the financial crisis in 2007). The evidence from a variety of indicators, including beta and standard deviation, shows that value stocks are not riskier than growth stocks.
Keywords:traditional finance, behavioral finance, value investing, intrinsic value, growth stocks, margin of safety


Comments

Leave comment

You must log in to leave a comment.

Comments (0)
0 - 0 / 0
 
There are no comments!

Back
Logos of partners University of Maribor University of Ljubljana University of Primorska University of Nova Gorica