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Financial ratios ability to predict excess returns of Swedish listed firms

Berglund, Emelie LU and Bergman, Alexander (2013) NEKN05 20131
Department of Economics
Abstract
In this paper we set out to analyze from two perspectives the performance predictability of financial ratios on Swedish listed firms by using statistical methods and fundamental analysis. Furthermore this paper sets out to establish a link between the two by cross checking or filling the results of regressed variables with the expected values of following a certain type of investment strategy. The Swedish market was analyzed for the time period of 1980-2013 . This paper has come to the conclusion that the predictability power of financial ratios do exist to some degree when using statistical methods. This result is contradicted by fundamental analysis that present that their indicative predictability is much higher as they are able to... (More)
In this paper we set out to analyze from two perspectives the performance predictability of financial ratios on Swedish listed firms by using statistical methods and fundamental analysis. Furthermore this paper sets out to establish a link between the two by cross checking or filling the results of regressed variables with the expected values of following a certain type of investment strategy. The Swedish market was analyzed for the time period of 1980-2013 . This paper has come to the conclusion that the predictability power of financial ratios do exist to some degree when using statistical methods. This result is contradicted by fundamental analysis that present that their indicative predictability is much higher as they are able to consistently over the time period observed to beat the market benchmark. (Less)
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author
Berglund, Emelie LU and Bergman, Alexander
supervisor
organization
alternative title
A search for the golden ratio
course
NEKN05 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
Price Earnings, Dividend Yield, Market to Book, Debt to Equity, Time Series Analysis, Three sigma rule, Information Ratio.
language
English
id
3814407
date added to LUP
2013-07-08 09:13:42
date last changed
2013-07-08 09:13:42
@misc{3814407,
  abstract     = {In this paper we set out to analyze from two perspectives the performance predictability of financial ratios on Swedish listed firms by using statistical methods and fundamental analysis. Furthermore this paper sets out to establish a link between the two by cross checking or filling the results of regressed variables with the expected values of following a certain type of investment strategy. The Swedish market was analyzed for the time period of 1980-2013 . This paper has come to the conclusion that the predictability power of financial ratios do exist to some degree when using statistical methods. This result is contradicted by fundamental analysis that present that their indicative predictability is much higher as they are able to consistently over the time period observed to beat the market benchmark.},
  author       = {Berglund, Emelie and Bergman, Alexander},
  keyword      = {Price Earnings,Dividend Yield,Market to Book,Debt to Equity,Time Series Analysis,Three sigma rule,Information Ratio.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Financial ratios ability to predict excess returns of Swedish listed firms},
  year         = {2013},
}