Woltering, Rene-Ojas and Weis, Christian and Schindler, Felix and Sebastian, Steffen (2018) Capturing the value premium - global evidence from a fair value-based investment strategy. JOURNAL OF BANKING & FINANCE, 86. pp. 53-69. ISSN 0378-4266, 1872-6372
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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 value in a country is the key to achieving superior risk-adjusted returns. The annualized excess return of the global value portfolio sorted according to relative mispricing is 10.0%, and remains significant after controlling for common risk factors. (C) 2017 Published by Elsevier B.V.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXPECTED STOCK RETURNS; BOOK-TO-MARKET; RISK-FACTORS; GROWTH; MOMENTUM; SIZE; EXTRAPOLATION; EQUILIBRIUM; PERFORMANCE; INFORMATION; Value premium; Global diversification; Net asset value; Investment strategy |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 23 Mar 2020 14:18 |
| Last Modified: | 23 Mar 2020 14:18 |
| URI: | https://pred.uni-regensburg.de/id/eprint/15271 |
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