Value investering på det danske aktiemarked

Anders Grøndahl & Tao Vinh Hanh

Student thesis: Master thesis


This study investigates whether an investor could get a premium by investing in value stocks compared to investing in growth stocks on the Danish Stock Market in the period (1996-2010). We begin with a presentation of the underlying theories which comprises modern portfolio theory, efficient market hypothesis, behavioral finance and value investing. We do so to establish the grounds and understanding for the two different believes of traditional economics and behavioral economics. The traditional economists believe in an efficient market with stock prices being automatically adjusted by trading and arbitrageurs, therefor a stock price is showing the true value of a firm. Opposite the traditional economists, the behavioral economists do not believe in an efficient market, but in limits to arbitrage and in irrational investors operating in the market. The data for our analysis is collected from the database Datastream. To help the search for value-premiums we have used the following financial ratios: Price to Book Value, Price to Earnings and Dividend Yield. After collecting data and sorting each ratio, we form our portfolios respectively in deciles and quintiles. We then focus on a passive investment strategy with both the decile- and the quintile-portfolios and hold these for periods of 3, 5, 10 and 15 years. The results vary from ratios showing value-premium for one or all value-portfolios, all or part or the time, to ratios showing value-premium only in the later part of the 15 year period. The most important difference and focus in shifting from decile to quintile portfolios is the general reduction in portfolio risk. Then follows a risk evaluation of the portfolios by calculating Sharp-ratios for each of the three financial ratios and for each of the 3, 5, 10 and 15 year periods. Our analysis finishes with the active strategy where the focus is on frequent trading, but by only using the quintile portfolios to measure the performance difference to the passive strategy.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2012
Number of pages120