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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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| Item type | Article | ||||
| Journal or Publication Title | Journal of Financial and Quantitative Analysis | ||||
| Publisher: | CAMBRIDGE UNIV PRESS | ||||
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| Place of Publication: | NEW YORK | ||||
| Volume: | 50 | ||||
| Page Range: | pp. 781-800 | ||||
| Date | 2015 | ||||
| Additional Information (public) | OA-Komponente aus Allianzlizenz | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
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| Keywords | STOCK RETURNS; MOMENTUM STRATEGIES; SIZE; RISK; TESTS; SEASONALITY; ANOMALIES; MARKETS; BIASES; | ||||
| Dewey Decimal Classification | 600 Technology > 650 Management & auxiliary services 600 Technology > 650 Management & auxiliary services | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-410537 | ||||
| Item ID | 41053 |
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