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Title:Analiza vpetosti upravljalcev portfelja med temeljno in tehnično analizo delnic ter vpliv števila uporabljenih kazalnikov analiz delnic na donosnost portfelja
Authors:ID Trančar, Vesna (Author)
ID Oplotnik, Žan Jan (Mentor) More about this mentor... New window
Files:.pdf DOK_Trancar_Vesna_2015.pdf (4,42 MB)
MD5: 68BD4252484B0B79DFDE8531698716F1
 
Language:Slovenian
Work type:Dissertation
Typology:2.08 - Doctoral Dissertation
Organization:EPF - Faculty of Business and Economics
Abstract:Da bi se pri nastopanju na finančnem trgu kar se da približali ravnanju inteligentnega investitorja, je potrebno obvladovati čim širši spekter tehnik tako temeljne, tehnične analize delnic, kazalnikov gospodarskega stanja, kot tudi vedenjskih financ, ter se zavedati, da je za »pravo« investicijo, ki omogoča primerno razmerje med donosom in tveganjem, potrebna večja preudarnost pri izbiranju delnic v naložbeni portfelj. Glede na navedeno smo v doktorski disertaciji postavili tri hipoteze, ki podpirajo pričakovani prispevek k znanosti. Iz opazovanja ekonomske stvarnosti tako trdimo, da obstaja korelacija med donosnostjo portfeljev in številom uporabljenih kazalnikov različnih analiz delnic, da kombinacija kazalnikov obeh analiz delnic vpliva na donosnost portfeljev, in da uporaba lastne informacijske baze, na osnovi katere upravljavci portfeljev oblikujejo kazalnike posameznih analiz delnic, pozitivno vpliva na natančnost napovedovanja prihodnjega gibanja vrednosti portfelja. Skozi preverjanje zgoraj navedenih hipotez pričakujemo tudi naš izviren prispevek k znanosti, ki v tem okviru podaja tudi odgovor na vprašanje o smiselnosti oblikovanja svojevrstnega modela, ki je modeliran na temelju kombiniranja kazalnikov različnih analiz delnic, ob upoštevanju gospodarske klime in vedenja investitorjev, in na vprašanje, ali uporaba lastne (in tuje) informacijske baze upravljavcem naložbenih portfeljev omogoča preferenčne prednosti na trgu kapitala. Področje raziskovanja in problematiko inteligentnega investiranja je v literaturi mogoče najti pri različnih avtorjih (Born, 2009; Buffett, 2008; Graham, 2009; Hagstrom, 2006; Hesse, 2011; O´Shauhgnessy, 2005; Prechter, 2001; Prechter & Parker, 2007; Ross, Westerfield, & Jaffe, 2010), na katere smo oprli naše trditve in raziskovalno metodologijo. Tako na primer Hesse (2011) poudarja, da ni smiselno v model za selekcijo delnic izbrati prevelikega števila kazalnikov analiz delnic, saj lahko preveliko število kazalnikov v modelu deluje zavajajoče. Kljub temu smo, prav zaradi spoznanja, da upravljavci portfeljev uporabljajo zelo različno število kazalnikov analiz delnic, preverili, ali lahko z večjim številom uporabljenih kazalnikov analiz delnic izboljšamo donosnost portfeljev. Doktorska disertacija predstavlja tudi model za selekcijo delnic v optimalni naložbeni portfelj. Z modelom smo testirali, ali ima kombinacija kazalnikov temeljne in tehnične analize delnic sinergijske učinke na donosnost oblikovanega portfelja oziroma ali lahko upravljavci portfeljev z obvladovanjem in optimalnim koriščenjem različnih analiz delnic izboljšajo razmerje med tveganjem in donosnostjo sestavljenega portfelja in s tem dosežejo tudi prednost pred ostalimi upravljavci portfeljev na trgu. Ker je temeljni cilj finančnih analitikov in upravljavcev portfeljev ta, da na podlagi številnih podatkov, ki jih finančni trg ponuja, izluščijo relevantne informacije in oblikujejo pravilne zaključke o optimalnih investicijskih možnostih (Bizer, Scheier, & Spiwoks, 2013), smo se v naši disertaciji posvetili tudi vprašanju, ali na natančnost napovedovanja prihodnjega gibanja vrednosti portfelja vpliva uporabljena informacijska baza oziroma, ali uporaba le tuje, splošne informacijske baze prispeva k uspehu pri napovedovanju prihodnjega gibanja vrednosti portfelja v tolikšni meri kot uporaba lastne (in tuje) informacijske baze. Pomen prispevka disertacije se kaže v možnostih takojšnje implementacije ugotovitev v prakso inteligentnega upravljanja z naložbenimi portfelji. Kot kažejo rezultati raziskav, ki predstavljajo tudi sestavni del prispevka znanosti, je odgovornost za doseganje optimalnega razmerja med donosnostjo in tveganjem investicij v rokah upravljavcev portfelja oziroma individualnih investitorjev samih.
Keywords:analiza delnic, konjunkturni kazalniki, vedenjske finance, upravljavci portfeljev, inteligentno investiranje, naložbeni portfelj
Place of publishing:Maribor
Publisher:V. Trančar
Year of publishing:2015
PID:20.500.12556/DKUM-47678-c864eff1-a887-f7c4-a89f-846d11d0404f New window
UDC:336.76
COBISS.SI-ID:12159516 New window
NUK URN:URN:SI:UM:DK:XI1TCMAY
Publication date in DKUM:25.11.2015
Views:1879
Downloads:266
Metadata:XML DC-XML DC-RDF
Categories:EPF
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Secondary language

Language:English
Title:Analysis of the Involvement of Portfolio Managers in Fundamental and Technical Stock Analysis and the Effect of the Number of Indicators Used in the Analysis on the Portfolio Profitability
Abstract:In order to act as an intelligent investor on the financial market, it is necessary to manage the broadest possible spectrum of techniques – both fundamental and technical stock analysis, as well as behavioural finances and be aware of the fact that a “true” investment, which enables an appropriate ratio between profitability and risk, requires much bigger prudence while choosing the stocks for our investment portfolio. Based on the aforementioned, the dissertation focuses on three hypotheses which add up to the expected scientific contribution. By observing the economic reality we argue the following: firstly, that there exists the correlation between portfolio profitability and the number of applied indexes of different stock analysis; secondly, that the combination of indexes of both stock analyses affects the profitability of portfolio, and finally, that the usage of our own database, on the basis of which portfolio managers design the indexes of individual stock analysis, positively influences the accuracy of foretelling the future movement of portfolio value. The verification of hypotheses will help us create our own scientific contribution which, in addition, answers two questions: firstly, whether or not it makes sense to design a unique model, which is based on combining indexes of different stock analyses (considering the economic climate and investment behaviour); and secondly, whether or not the use of their own (and foreign) database enables portfolio managers preferential advantage on the capital market. In literature the areas of research and intelligent investment can be found by different authors (Born, 2009; Buffett, 2008; Graham, 2009; Hagstrom, 2006; Hesse, 2011; O´Shauhgnessy, 2005; Prechter, 2001; Prechter & Parker, 2007; Ross, Westerfield, & Jaffe, 2010) whose ideas have been used for our assertions and research methodology. For example, Hesse (2011) argues that it is not reasonable to use an oversized number of indexes of stocks analyses for our model of stock selection, since they can be misleading. Nevertheless, the realization that portfolio managers use a different number of stock analysis indexes has made us verify, whether a larger number of used indexes of stock analyses can improve portfolio profitability. In addition, the dissertation also represents the model of stock selection for optimal investment portfolio. The model has help us discover whether the combination of indexes of both fundamental and technical stock analysis has synergistic effects on the profitability of the designed portfolio or i. e., if it is possible for portfolio managers, by handling and optimally utilizing different stock analyses, to improve the ratio between the risk and the profitability of the created portfolio and therefore achieve advantage over other portfolio managers on the market. Due to fact that the fundamental goal of financial analysts and portfolio managers is (based on numerous data the financial market offers) to extract the most relevant pieces of information and come to the right conclusions about optimal investment opportunities (Bizer, Scheier, & Spiwoks, 2013), our dissertation also deals with the question of whether the foretelling of future movement of portfolio value is dependent upon the used database or i.e., if the use of only foreign general database contributes to success in foretelling the future movement of portfolio value in such extent as the use of our own (and foreign) database. To sum up, the importance of the dissertation's contribution is seen in the possibilities for instant application of our findings in the practical intelligent management with investment portfolios. As displayed in the research results, which represent an important part of scientific contribution, the responsibility for achieving the optimal relationship between investment profitability and its risks lies in the hands of portfolio managers or i.e. individual investors themselves.
Keywords:stock analysis, cyclical indicators, behavioral finance, portfolio manager, intelligent investing, investment portfolio


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