| Abstract [eng] |
The aim of this study to observe the applicability and the performance of Value Investing by testing Net Current Asset Value (NCAV) strategy developed by Graham. Companies in NASDAQ, whose current assets greater than 1.5 times of their market capitalizations are chosen to form different portfolios in terms of its holding periods. NASDAQ is used as the market. The study period tested is between beginning of 2004 and June of 2019. The results regarding the portfolios are taken from Portfolio123 whose raw data is supplied by Compustat, Standard & Poors, Capital IQ, and Reuters. Results showed that NCAV strategy outperforms the market with a huge margin. However, this strategy isn’t applicable for most of the market participants due to illiquidity in these assets. When a volume condition is added to avoid illiquidity, the outperformance disappeared, even a loss of investment. The strategy is applicable for small-budget market participants, however, when the small-budget becomes bigger, illiquidity problem shows up once again. In order to avoid the illiquidity problem in this strategy, a new methodology employed in NASDAQ 100. NASDAQ 100 is used as the benchmark which is the market. Companies whose current asset value greater than their total liabilities are observed with different level of excess current assets and different holding periods. A volume condition is also added to avoid illiquidity. Results showed that the companies whose current assets are greater than total liabilities outperformed the market without an illiquidity problem. |
