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Fundamentala analysens möjligheter att skilja på vinnare och förlorare på aktiemarknaden.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2012 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I det här arbetet har multipel linjär regression tillämpats för att analysera hur olika finansiella signaler påverkar marknadsjusterad avkastning. Analysen baserades på en observerad datamängd hämtad ur årsredovisningar och aktiekurser från åren 2006-2010. De finansiella signalernas undersöktes mot aktiers framtida marknasjusterade avkastning och mot fjolårets marknadsjusterade avkastning. De finansiella faktorer och marknadsfaktorer som undersökts i arbetet var F_SCORE, Book-to-Market-ratio, affärsår, marknadsvärde samt verksamhetsområde.

OLS-regressioner har tillämpats för att analysera modellerna, vilka därefter successivt har reducerats med hjälp av BIC-test. För att undersöka OLS-skattningarnas noggrannhet har även Bootstrap-metoden tillämpats. Signifikansen av de ingående signalerna till F_SCORE granskades också med linjär regression. Vidare analys har utförts för att undersöka modellens prediktiva förmåga med hjälp av Logit-metoden.

Statistiskt signifikanta resultat erhölls för F_SCORE på 10 % -signifikansnivå för historisk data, men visades icke-signifikant för prediktion av framtida marknadsjusterad avkastning. Book-to-Market-ratio blev signifikant positivt korrelerad med framtida marknadsjusterad avkastning på 1 % -signifikansnivå.

Studien visade att F_SCORE är positivt korrelerad med fjolårets marknadsjusterade avkastning, men inte med framtida marknadsjusterad avkastning. Detta ledde till slutsatsen att marknadens informationseffektivitet leder till att ny finansiell informations påverkan på aktiepriser absorberas omedelbart av marknaden, och att den fundamentala analys som använts i detta arbete inte kan tillämpas för att hitta högavkastande aktier på marknaden.

Abstract [en]

ii

Multiple linear regression analysis has been applied in this project to examine the influence of different financial signals on market-adjusted return. The analysis is based on observed sets of data, gathered from annual reports and market prices from the years 2006-2010. The financial signals were analysed with share's future market-adjusted returns as well as historic adjusted return. F_SCORE, Book to Market ratio, year, business and market value were encompassed in the model as covariates, with market-adjusted return as the depended variable.

To analyse the model, OLS regressions were implemented, and the model was subsequently reduced by BIC tests. To investigate the accuracy of the OLS estimates the Bootstrap method was implemented and the financial input signals to F_SCORE were also examined, with linear regressions. Moreover, the Logit method was utilized to test the predictive capacity of the model.

Statistically significant results were obtained for F_SCORE at 10% significance level for historic returns, but insignificant for future adjusted returns. Book to Market ratio was found to be significantly correlated with future market adjusted return on 1% significance level.

The study showed that F_SCORE is positively correlated with historic market adjusted returns, but insignificant in its effect on future returns. This led to the conclusion that the market's efficiency result to absorb new financial information in the pricing of stocks instantaneously, and that this fundamental analysis cannot be applied to find high-yielding stocks on the market.

Place, publisher, year, edition, pages
2012. , 36 p.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-105219OAI: oai:DiVA.org:kth-105219DiVA: diva2:570392
Uppsok
Technology
Supervisors
Available from: 2012-11-19 Created: 2012-11-19 Last updated: 2013-02-12Bibliographically approved

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