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  • 1.
    Öhlin, Victoria
    et al.
    Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
    Sakotic, Vanja
    Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
    Multiplar som investeringsstrategi: En kvantitativ studie om bolag på Stockholmsbörsen mellan åren 2008- 20182019Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Background: There are several investment strategies investors can use, where the strategy to invest in low multiples is well studied. By using low multiples investors can find undervalued companies to generate an excess return. Previous studies have been focusing on the P/E and EV/EBITDA- multiples, and not as much on other used multiples in relative valuation. Therefore an interest exists to also analyze multiples such as P/B, P/S, EV/EBIT and EV/S.

    Purpose: The study’s purpose is to analyze how well the multiples P/E, P/B, P/S, EV/EBIT, EV/EBITDA and EV/S can be applied as an investment strategy in the Stockholm Stock Exchange. Furthermore the study aim to analyze the possibility to generate a higher return than the index OMXSPI during the time period 2008-2018.

    Method: The study uses a quantitative research strategy, where two portfolios for each multiple has been created. The portfolio has been reinvested once a year, both the real and accumulated return was calculated. Also, the portfolios’ performance has been evaluated by adjusting it to risk by using the Sharpe ratio, M^2 , Treynor ratio and Jensen’s Alpha.

    Result: The investment strategy can be implemented for three of six multiples. The low P/B, EV/EBIT and EV/EBITDA generated a higher return than both index and their respective high portfolio. The other multiples P/E, P/S and EV/S cannot be used as an investment strategy. The high EV/S portfolio had the highest risk adjusted excess return meanwhile P/S had the highest accumulated return. The result of all multiples has been found to be statistically significant, therefore the market return has an effect on the portfolios’ monthly return.

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