Daniel Kühner won the ACATIS Value Prize 2018 (master thesis category) with his thesis "Regression Models for the Discovery of Relative Mispricing"! Every year ACATIS honours academic research on the subject of value investing with the ACATIS Value Prize. For more information about the "ACATIS Value Prize", please click here. The thesis was supervised by Matthias Hanauer.

Summary

For global sample of stocks, the thesis investigates in how far information from companies’ financial statements can be utilized to detect relative mispricing of stocks. For a given point in time, this is done by regressing companies’ market values of equity on a number of accounting variables. As a result, some companies will be valued above and others below to what the regression model suggests. This over- or underpricing relative to the market is used to set up an according long-short trading strategy with monthly rebalancing. Analyzing the results shows that a significant alpha persists, even when other factors are included to partially explain the returns.