Abstract
Research background: Since the publication of Markowitz’ Portfolio Selection Theory, researchers and practitioners have been searching for the optimal structure of investment portfolios. An unlimited number of portfolio-based investment strategies have been created since 1952. However, none of these strategies seem to continuously generate overperformance over a long time period. This may also be due to the strong dynamics of economic development and other external factors. Purpose of the article: The aim of this article is to analyze which strategies are successful in generating winning portfolios in times of crisis. Three types of crises are considered: first, the bursting of the dot-com bubble in 2001, second, the financial crisis of 2008, and finally, the performance impact of the corona crisis. Methods: The data of the S&P 500 and STOXX Europe 600 companies are analyzed. The first step is the statistical review of the performance of companies in different periods with the focus on the analysis of the crisis years. Subsequently, the formation of portfolios is carried out according to known key figures such as high-low PE ratio, high-low market-to-book ratio, and others. In the form of a regression analysis, selected fundamental data are used to statistically check their relevance for performance. Findings & Value added: The results shows that all crises have similarities in certain factors. However, they also show that companies with a digital business model are able to manage crises better than those without a digital business model.
Highlights
Findings & Value added: The results shows that all crises have similarities in certain factors. They show that companies with a digital business model are able to manage crises better than those without a digital business model
The last 20 years have been largely shaped by three global crises on the capital markets: the dot-com bubble in 2001, the 2008 financial crisis, and currently, the corona crisis
A number of academic studies have documented a decline in the linear relationship between earnings and stock return. [1,2,3,4] Some argued that profits no longer mattered and that other metrics such as number of clicks or page views were more appropriate in the new economy
Summary
The last 20 years have been largely shaped by three global crises on the capital markets: the dot-com bubble in 2001, the 2008 financial crisis, and currently, the corona crisis. During the dot-com bubble of the 1990s, many market participants questioned the value of basic financial information for investment decision-making purposes. Shares were traded at a record multiple of earnings. Many companies that were not making any profits saw their share prices rise sharply in the second half of the 1990s. A number of academic studies have documented a decline in the linear relationship between earnings and stock return. [1,2,3,4] Some argued that profits no longer mattered and that other metrics such as number of clicks or page views were more appropriate in the new economy. A number of academic studies have documented a decline in the linear relationship between earnings and stock return. [1,2,3,4] Some argued that profits no longer mattered and that other metrics such as number of clicks or page views were more appropriate in the new economy. [5] Others argued that poor accounting and accounting standards contributed to the bull market of the 1990s. [6,7] Penman (2003) describes the bubble period of the 1990s as a pyramid-shaped chain letter in which momentum investments displaced fundamental investments. [5]
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
