| Abstract [eng] |
Topic Relevance. In 1965 E. F. Fama introduced efficient market hypothesis, which states that stock markets are efficient and reflect all available information at all times, meaning that it is impossible to predict stock prices and earn higher than average market return. Subsequent researches have revealed that weak form of market efficiency remains an important object of research, while medium and strong forms of market efficiency are invalid due to irrational behaviour of investors. Due to irrationality of investors, market anomalies appear in financial markets and allow to earn higher than average market returns. Although the variety of anomalies exist in the market, special attention is provided to value anomalies, as the investment strategies that are based on them still remain dominant both among individual investors and among investment funds. Value anomalies have been extensively studied in the United States and across major European and Asian markets. Researches reveal that value anomalies arise due to rational factors that can be explained by risk or due to irrational behaviour of investors, caused by various psychological and emotional factors. Empirical studies confirm that value anomalies exist in both developed and emerging markets as well as during various economic cycles, bear and bull markets. On the other hand, the appearance of value anomalies depend on the studied period and might appear stronger in in some periods when others. While examining the scientific literature, it has been observed that there is a lack of clarity as to whether value anomalies occur in small markets and which factors should be used to form value and growth portfolios in order to receive optimal results. Object of the research – value anomalies, that appear due to market inefficiencies and non-rational behaviour of investors. Objective – to investigate the peculiarities of value anomalies in stock market and to determine whether value anomalies occur in Baltic stock market due to market inefficiencies. Investor are constantly seeking to find ways that could help to overcome the market. One of such opportunities is to use investment strategies based on value anomalies. The first part of the thesis provides a comprehensive overview of the problematics of value anomalies research. The second part presents a detailed analysis of the scientific literature based on which the research methodology presented in the third part of the thesis is developed. The research uses daily logarithmic returns of shares included in Lithuanian, Latvian and Estonian stock markets in 2009-2019. To identify value anomalies, stocks are divided into quantile portfolios. The fourth part of the thesis describes the performed empirical research, which allowed to capture the existence of value anomalies in Baltic stock market in 2009 - 2019. On the other hand, depending on portfolio holding period and fundamentals based on which the portfolios were formed, value anomalies do not appear in each period. |
