Capturing the value premium : global evidence from a fair value-based investment strategy

Woltering, René-Ojas (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland ; IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany) ; Weis, Christian (IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany) ; Schindler, Felix (Steinbeis University Berlin, Berlin, Germany) ; Sebastian, Steffen (IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany)

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.


Keywords:
Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Subject(s):
Economie/gestion
Date:
2018
Pagination:
17 p.
Published in:
Journal of banking & finance
Numeration (vol. no.):
2018, vol. 86, pp. 53-69
DOI:
ISSN:
0378-4266
Appears in Collection:



 Record created 2018-06-22, last modified 2019-11-28

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