Valuation signals have been among the most popular with equity portfolio managers and have recently attracted significant interest from cross-asset managers.
Research Associate, EDHEC-Risk InstituteAssistant Professor of Finance, Athens University
Director and Head of Global Quantitative Research - Europe, Citi Investment Research
Given a large variation of techniques and theories with regard to how value is measured, this article investigates the efficacy of alternative value measures. We consider a cross-section of simple and sophisticated alternative measures and focus on comparison metrics that are of primary interest for equity portfolio managers. Our results show that sophisticated valuation modelsalthough not universallyare superior to simple valuation models in many respects. Thus, we conclude that sophisticated models have interesting attributes and in general should be considered an additional if not primary perspective on equity valuation and portfolio management.
|Type :||Working paper|
|Date :||le 29/06/2011|
|Pôle de recherche||Finance|