Academic studies have shown how over time, value investment presents a certain consistency of earnings and on average it always manages to outperform the market, or to offer more satisfaction for investors. On average in over the last 90 years, the difference in returns between growth and value stocks has been just under 5% in favour of value investment. There have been particularly good years and stingy periods. Times of economic uncertainty, on average and in relative, have always represented good times to have Value stocks. Only recently it has been noticed a certain effort to report good results. The main event that influenced the macroeconomics scenario of the last decade is the Lehman Brothers crisis of 2008/2009, where the equity sector suffered a major liquidation of positions due to financial stress, the need to raise cash, reduce positions and risk investments led to the liquidation of positions (even of value) without too many distinctions. Many value companies have suffered because however having solid businesses there was a debt component that it was beginning to weigh on the balance sheets, putting Book Value under stress. The pressure on margins for economic contraction has only emphasized this delicate situation. Tangible values became more fragile and value construction appeared weak. More recently, however, the market has considerably rewarded growth stocks, thanks to expansionary policies and a renewed interest in new technological stocks and topics relatively young, more leveraged and with less tangible value in capital. Moreover, the actual pandemic increased the use of technological services and gave the opportunity to new emerging technologies to growth. In a World in continue evolution, the questions we are trying to answer are in this thesis are: what happened to value investing? Is a decade of underperformance for value strategies enough to knuckle under? Is it the case that the strategy no longer works because on the one hand everyone knows about it, on the other hand times are different post the financial crisis? Are the multiples that before were the base of value investment still good as indicator of intrinsic value? And last, but not least: where can we find value in stock exchanges nowadays?
Studi accademici hanno dimostrato come nel tempo l'investimento value presenti una certa consistenza di guadagni e mediamente riesca sempre a sovraperformare il mercato, ovvero ad offrire maggiori soddisfazioni agli investitori. In media, negli ultimi 90 anni, la differenza nei rendimenti tra titoli growth e value è stata di poco inferiore al 5% a favore degli investimenti value. Ci sono stati anni particolarmente buoni e periodi avari. I periodi di incertezza economica, in media, hanno sempre rappresentato tempi favorevoli per avere azioni Value. Solo di recente si è notata una certa difficoltà nel riportare buoni risultati. L'evento principale che ha influenzato lo scenario macroeconomico dell'ultimo decennio è la crisi di Lehman Brothers del 2008/2009, dove il settore azionario ha subito un'importante liquidazione di posizioni a causa dello stress finanziario, la necessità di raccogliere liquidità, ridurre le posizioni aperte e quindi irischi di investimenti ha portato alla liquidazione di posizioni (anche value) senza troppe distinzioni. Molte società value hanno sofferto perché avendo attività solide c'era una componente di debito che cominciava a pesare sui bilanci, mettendo sotto stress il Book Value. La pressione sui margini per la contrazione economica ha solo accentuato questa delicata situazione. I valori tangibili sono diventati più fragili e la costruzione del valore è apparsa debole. Più recentemente, invece, il mercato ha premiato notevolmente i titoli growth, grazie a politiche espansive e ad un rinnovato interesse per nuovi titoli tecnologici e temi relativamente giovani, più leveraged e con minor valore tangibile del capitale. Inoltre, l'attuale pandemia ha aumentato l'utilizzo dei servizi tecnologici e ha dato opportunità alla crescita delle nuove tecnologie emergenti. In un mondo in continua evoluzione, le domande a cui stiamo cercando di rispondere in questa tesi sono: cosa è successo al value investing? È sufficiente un decennio di sottoperformance per abbandonare le strategie di valore? È vero che la strategia non funziona più perché da un lato lo sanno tutti, dall'altro i tempi sono diversi dopo la crisi finanziaria? I multipli che prima erano la base dell'investimento di valore sono ancora validi come indicatori di valore intrinseco? E ultimo, ma non meno importante: dove possiamo trovare valore in borsa oggigiorno?
VALUE INVESTING: How global evolution impacts value factor
ROSSI, MANUEL
2019/2020
Abstract
Academic studies have shown how over time, value investment presents a certain consistency of earnings and on average it always manages to outperform the market, or to offer more satisfaction for investors. On average in over the last 90 years, the difference in returns between growth and value stocks has been just under 5% in favour of value investment. There have been particularly good years and stingy periods. Times of economic uncertainty, on average and in relative, have always represented good times to have Value stocks. Only recently it has been noticed a certain effort to report good results. The main event that influenced the macroeconomics scenario of the last decade is the Lehman Brothers crisis of 2008/2009, where the equity sector suffered a major liquidation of positions due to financial stress, the need to raise cash, reduce positions and risk investments led to the liquidation of positions (even of value) without too many distinctions. Many value companies have suffered because however having solid businesses there was a debt component that it was beginning to weigh on the balance sheets, putting Book Value under stress. The pressure on margins for economic contraction has only emphasized this delicate situation. Tangible values became more fragile and value construction appeared weak. More recently, however, the market has considerably rewarded growth stocks, thanks to expansionary policies and a renewed interest in new technological stocks and topics relatively young, more leveraged and with less tangible value in capital. Moreover, the actual pandemic increased the use of technological services and gave the opportunity to new emerging technologies to growth. In a World in continue evolution, the questions we are trying to answer are in this thesis are: what happened to value investing? Is a decade of underperformance for value strategies enough to knuckle under? Is it the case that the strategy no longer works because on the one hand everyone knows about it, on the other hand times are different post the financial crisis? Are the multiples that before were the base of value investment still good as indicator of intrinsic value? And last, but not least: where can we find value in stock exchanges nowadays?È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/563