The effectiveness of low P/E strategy in Singapore
Many studies have investigated and concluded that firms of low PIE ratios yield abnormally high risk adjusted returns. Such a phenomenon has been labeled as the low PIE effect. This project aims to verify the low PIE effect and the optimal investment horizon of the low PI...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2014
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/58597 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | Many studies have investigated and concluded that firms of low PIE ratios yield
abnormally high risk adjusted returns. Such a phenomenon has been labeled as the
low PIE effect.
This project aims to verify the low PIE effect and the optimal investment horizon
of the low PIE strategy in the Singapore market and the four sectors on the SES
mainboard, namely, Industrial and Commercial, Finance, Hotels and Properties.
It has been found that:
1. The low PIE effect in the market is inversely proportional to the holding
period of the portfolio;
2. The low PIE effect exists, in the Industrial and Commercial Sector, but only
for short holding periods. Neither low nor high PIE effect is evident in
holding periods of 3 months or more;
3. Weak low PIE effect prevail in the Finance Sector, irrespective of holding
period;
4. Consistent low P/E effect dominate in the Hotels Sector throughout all
holding periods;
5. A slight low PIE effect is evident in the Properties Sector. It is maximized in
holding period of about 3 months.
Interviews with a dealer, a fund manager and two investment analysts are
conducted to find out the practical application of the strategy. |
|---|