Publicação
Exploiting value with a cyclically adjusted enterprise value to ebit ratio
| Resumo: | 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. |
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| Autores principais: | Blidari, Bogdana |
| Assunto: | Finance Financial markets Value investing Us stock market Performance analysis Investment strategy |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | 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. |
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