A carregar...
Publicação
Exploiting value with a cyclically adjusted enterprise value to ebit ratio
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.54 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper aims to exploit value investing with a cyclically adjusted enterprise value-to-EBIT
(CAEE) ratio. The results show that a long-only strategy based on this ratio can generate
positive and significant abnormal returns, outperforming the CAPE ratio, the starting point for
the development of CAEE, and the market. However, the strategy entails relatively high
volatility, showing that value stocks may be riskier. A standardized CAEE ratio was also
explored by removing the sector effect, which proved to be relatively unsuccessful. Overall, the
strategy performance proves that value is not “dead” yet, although the value premium may be
lower.
Descrição
Palavras-chave
Finance Financial markets Value investing Us stock market Performance analysis Investment strategy