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Capturing the Value Premium - Global Evidence from a Fair Value-Based Investment Strategy

URN to cite this document:
urn:nbn:de:bvb:355-epub-434414
DOI to cite this document:
10.5283/epub.43441
Sebastian, Steffen P. ; Woltering, René-Ojas ; Weis, Christian ; Schindler, Felix
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Date of publication of this fulltext: 02 Jul 2020 05:02


Abstract

This paper examines the risk premium of value stocks within a global investment strategy framework. We test whether absolute or relative mispricing is better suited to capturing the global value premium by using fair value-based net asset values (NAVs) as our proxies for fundamental value. We find that investing in the most underpriced stocks relative to the average ratio of price to fundamental ...

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