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Primary Article

Trading Strategy on EVA® and MVA

Are They Reliable Indicators of Future Stock Performance?

Robert A Ferguson, Joel Rentzler and Susana Yu
The Journal of Investing Winter 2006, 15 (4) 88-94; DOI: https://doi.org/10.3905/joi.2006.669105
Robert A Ferguson
The senior investment officer at INTECH LLC in Palm Beach Gardens, FL.
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  • For correspondence: bobferg13@adelphia.net
Joel Rentzler
A professor of finance at Baruch College, Zicklin School of Business in New York, NY.
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  • For correspondence: joel_rentzler@baruch.cuny.edu
Susana Yu
An associate professor of economics and finance at Montclair State University in Upper Montclair, NJ.
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  • For correspondence: yus@mail.montclair.edu
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Abstract

The positive risk-adjusted return of the winner group is found when adjusted-MVA is designated as the ranking variable. This return is higher than the one in the loser group. However, both returns are at an insignificant level. The p-values for each factor loading as well as the F-values are all significant, while the adjusted R-squares range between 0.5578–0.8801. Hence, the authors suspect that the adjusted-MVA variable may be a weak alternative indicator of earnings momentum. At the same time, the authors conclude that the Fama-French model successfully captures the return components.

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Vol. 15, Issue 4
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Trading Strategy on EVA® and MVA
Robert A Ferguson, Joel Rentzler, Susana Yu
The Journal of Investing Nov 2006, 15 (4) 88-94; DOI: 10.3905/joi.2006.669105

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Trading Strategy on EVA® and MVA
Robert A Ferguson, Joel Rentzler, Susana Yu
The Journal of Investing Nov 2006, 15 (4) 88-94; DOI: 10.3905/joi.2006.669105
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