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Napovedovanje donosa delnic s pomočjo računovodskih podatkov
ID Povšič, Rok (Author), ID Oblak, Polona (Mentor) More about this mentor... This link opens in a new window, ID Štrumbelj, Erik (Comentor)

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MD5: 0468B0FEFEA93E0B27834761B0D825FC
PID: 20.500.12556/rul/d5fa156c-9bf4-4a68-897a-12c84f5e84b7

Abstract
Srednje močna oblika teorije učinkovitih trgov pravi, da so vse javne informacije vsebovane v cenah delnic. Glede na to teorijo javni računovodski podatki ne morejo imeti sposobnosti napovedovanja prihodnjih presežnih donosov. Z uporabo letnih in četrtletnih računovodskih podatkov, ki niso pristranski v korist preživelih, na podjetjih Združenih držav Amerike in Evrope ovrednotimo več naložbenih strategij, ki delujejo na podlagi podcenjenosti, kakovosti in statističnega modeliranja. Ugotovimo, da imajo določene strategije z uporabo teh podatkov neko napovedno sposobnost in da preproste strategije, ki investirajo v podjetja, ki so hkrati kakovostna in podcenjena, delujejo najbolje.

Language:English
Keywords:delnice, donosi, napovedovanje, računovodski podatki
Work type:Master's thesis/paper
Organization:FRI - Faculty of Computer and Information Science
Year:2016
PID:20.500.12556/RUL-91251 This link opens in a new window
Publication date in RUL:27.03.2017
Views:1181
Downloads:305
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Secondary language

Language:Slovenian
Title:Forecasting stock returns using accounting data
Abstract:
Semi-strong form of the Efficient Market Hypothesis states that all public information is reflected in stock prices. According to this theory, publicly available accounting data should not have the ability to predict future relative stock returns. We take annual and quarterly survivorship bias-free accounting data for companies in the United States and Europe and test several value, quality, and statistical modeling strategies. We find that certain strategies utilizing this data do have predictive ability and that simple strategies that invests in companies that are both of quality and undervalued, work best.

Keywords:stocks, returns, forecasting, accounting data

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