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The Enterprise Multiple Investment Strategy: International Evidence
Walkshäusl, Christian und Lobe, Sebastian (2015) The Enterprise Multiple Investment Strategy: International Evidence. Journal of Financial and Quantitative Analysis 50, S. 781-800.Veröffentlichungsdatum dieses Volltextes: 20 Nov 2019 09:19
Artikel
DOI zum Zitieren dieses Dokuments: 10.5283/epub.41053
Zusammenfassung
The enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of ...
The enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of countries, remains largely unexplained by existing asset pricing models, is robust after controlling for comovement with the respective U.S. premium, and is highly persistent for up to 5 years after portfolio formation, making it a promising strategy for investors.
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| Dokumentenart | Artikel | ||||
| Titel eines Journals oder einer Zeitschrift | Journal of Financial and Quantitative Analysis | ||||
| Verlag: | CAMBRIDGE UNIV PRESS | ||||
|---|---|---|---|---|---|
| Ort der Veröffentlichung: | NEW YORK | ||||
| Band: | 50 | ||||
| Seitenbereich: | S. 781-800 | ||||
| Datum | 2015 | ||||
| Zusätzliche Informationen (Öffentlich) | OA-Komponente aus Allianzlizenz | ||||
| Institutionen | Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identifikationsnummer |
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| Stichwörter / Keywords | STOCK RETURNS; MOMENTUM STRATEGIES; SIZE; RISK; TESTS; SEASONALITY; ANOMALIES; MARKETS; BIASES; | ||||
| Dewey-Dezimal-Klassifikation | 600 Technik, Medizin, angewandte Wissenschaften > 650 Management 600 Technik, Medizin, angewandte Wissenschaften > 650 Management | ||||
| Status | Veröffentlicht | ||||
| Begutachtet | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden | Ja | ||||
| URN der UB Regensburg | urn:nbn:de:bvb:355-epub-410537 | ||||
| Dokumenten-ID | 41053 |
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