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Walkshäusl, Christian ; Lobe, Sebastian

The Enterprise Multiple Investment Strategy: International Evidence

Walkshäusl, Christian and Lobe, Sebastian (2015) The Enterprise Multiple Investment Strategy: International Evidence. Journal of Financial and Quantitative Analysis 50, pp. 781-800.

Date of publication of this fulltext: 20 Nov 2019 09:19
Article
DOI to cite this document: 10.5283/epub.41053


Abstract

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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Details

Item typeArticle
Journal or Publication TitleJournal of Financial and Quantitative Analysis
Publisher:CAMBRIDGE UNIV PRESS
Place of Publication:NEW YORK
Volume:50
Page Range:pp. 781-800
Date2015
Additional Information (public)OA-Komponente aus Allianzlizenz
InstitutionsBusiness, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number
ValueType
10.1017/S002210901500023XDOI
KeywordsSTOCK RETURNS; MOMENTUM STRATEGIES; SIZE; RISK; TESTS; SEASONALITY; ANOMALIES; MARKETS; BIASES;
Dewey Decimal Classification600 Technology > 650 Management & auxiliary services
600 Technology > 650 Management & auxiliary services
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-410537
Item ID41053

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