Colorado College Logo

  DigitalCC

Use AND (in capitals) to search multiple keywords.
Example: harmonica AND cobos

A TEST OF BENJAMIN GRAHAM’S STOCK SELECTION CRITERIA ON THE CONTEMPORARY U.S. STOCK MARKET

by Stern, Jordan

Abstract

This paper examines if Benjamin Graham’s 10 stock selection criteria can be used to generate returns that are significantly greater than the returns of the modern U.S. stock market. In order to assess performance, 15 portfolios are generated using certain combinations of Graham’s criteria. Data is selected from all U.S. stock exchanges between the years of 2006 and 2010, and portfolios are held for two-year periods. Ordinary least squares regressions are performed using a risk adjustment model derived from the capital asset pricing model (CAPM). The study finds that of the 15 Ben Graham portfolios created, only five significantly outperform the market. The significant portfolios are distributed across different years and combinations of criteria, indicating that no set of criteria performs better than the rest. The results suggest that Graham’s selection criteria no longer yield excess risk-adjusted returns in the current U.S. market. It is worth noting that despite only five portfolios producing significant positive returns, 14 portfolios performed higher than the market on a risk-adjusted basis. This finding demonstrates that perhaps untested combinations of criteria, studied over a larger period of time, could produce contrary results.

Note

The author has given permission for this work to be deposited in the Digital Archive of Colorado College.

Colorado College Honor Code upheld.

Includes bibliographical references.

Administrative Notes

The author has given permission for this work to be deposited in the Digital Archive of Colorado College.

Colorado College Honor Code upheld.

Copyright
Copyright restrictions apply.
Publisher
Colorado College Tutt Library
PID
coccc:30947
Digital Origin
born digital
Extent
28 pages
Thesis
Senior Thesis -- Colorado College
Thesis Advisor
Aju Fenn
Department/Program
Economics and Business
Degree Name
Bachelor of Arts
Degree Type
bachelor
Degree Grantor
Colorado College Tutt Library
Date Issued
2019-05