| Abstract [eng] |
The doctoral study explores the research problem and finds out what are the appropriate stock evaluation indicators and methods for stock selection and how to construct investment portfolios using complex evaluation for stock selection. The research goal is to develop the investment portfolio construction model and to test it in the different efficiency markets. The first chapter investigates the theoretical aspects of investment portfolio construction and management as well as the views of the researchers on the investment portfolio construction process. It further explores the application of the methods of investment portfolio construction and stock selection in the context of economics, market efficiency and decision making theories. The second chapter develops the methodology for the development of the investment portfolio construction model in the different efficiency markets. The methodology suggests to construct the portfolios using complex evaluation for stock selection based on macroeconomic, meso economic and company financial ratios, that are later combined into an integrated index. Finally the investment portfolio construction model is developed using complex evaluation for stock selection in the different efficiency markets. The model is based on the concepts of modern portfolio theory, decision theory, financial market and behavioural finance. The third chapter tests the developed model in the different efficiency markets and summarizes the testing results. Investors are aasumed to follow „buy and hold“ investment strategy which is reflected in the research hypotheses. Under the defined hyptoheses expected returns of the constructed portfolios are compared to index returns in the different efficiency markets. All the hypotheses are confirmed. It is found that “buy and hold” portfolios generate 4-year average returns superior to index average returns in both the U.S. and Baltick stock market. |
