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Application Of Market Valuation Models In Portfolio Management

Author

Listed:
  • Damian Pastor

    (Technical University of Košice, Faculty of Economics)

  • Pavel Kisela

    (Technical University of Košice, Faculty of Economics)

  • Viliam Kovac

    (Technical University of Košice, Faculty of Economics)

  • Tomas Sabol

    (Technical University of Košice, Faculty of Economics)

  • Viliam Vajda

    (Technical University of Košice, Faculty of Economics)

Abstract

The paper deals with application of market valuation models in portfolio management. Its aim is to find out if it is possible to gain excess returns with simple investment strategies based on indicators constructed from some well-known ratios that are used to detect undervaluation or overvaluation of stock market. The theoretical background is followed by an overview of other studies in this field. In the next chapter Tregler’s market valuation indicators and the created investment strategies are discussed. Portfolio management approaches for different indicators were tested on historical S&P 500 monthly close prices. Any of chosen approaches was not able to achieve a higher return than basic buy and hold strategy. One strategy achieved return comparable to benchmark, but with lower risk, so it may be suitable for some portfolio managers.

Suggested Citation

  • Damian Pastor & Pavel Kisela & Viliam Kovac & Tomas Sabol & Viliam Vajda, 2015. "Application Of Market Valuation Models In Portfolio Management," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 12(1), pages 154-165, DEcember.
    • Handle: RePEc:pcz:journl:v:12:y:2015:i:1:p:154-165
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    References listed on IDEAS

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    Cited by:

    1. Vincent Soltes & Bibiana Novakova, 2016. "Assessment Of Material Living Conditions By The Means Of Integrated Indices In The Visegrad Group," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 13(1), pages 157-167, June.

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