Model
Digital Document
Publisher
Florida Atlantic University
Description
This thesis uses a fundamentalist approach to portfolio selection similar to
that proposed by Benjamin Graham. The purpose is to examine the existence of
undervalued securities and to test a methodology designed to identify those that
could be considered superior investments. The model designed to select, combine
and evaluate performance on risk adjusted basis takes into consideration
fundamental principles of modern portfolio theory. Specifically, this analysis
evaluates the informational contribution of price earnings ratios, earnings growth
and dividend payments. The hypothesis tested is that undervalued securities
selected under the conditions here proposed can produce performance results
consistently superior than those of a strategy based on passively holding a market
portfolio.
that proposed by Benjamin Graham. The purpose is to examine the existence of
undervalued securities and to test a methodology designed to identify those that
could be considered superior investments. The model designed to select, combine
and evaluate performance on risk adjusted basis takes into consideration
fundamental principles of modern portfolio theory. Specifically, this analysis
evaluates the informational contribution of price earnings ratios, earnings growth
and dividend payments. The hypothesis tested is that undervalued securities
selected under the conditions here proposed can produce performance results
consistently superior than those of a strategy based on passively holding a market
portfolio.
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