RT Journal Article
SR Electronic
T1 Trading Strategy on EVA® and MVA
JF The Journal of Investing
FD Institutional Investor Journals
SP 88
OP 94
DO 10.3905/joi.2006.669105
VO 15
IS 4
A1 Robert A Ferguson
A1 Joel Rentzler
A1 Susana Yu
YR 2006
UL https://pm-research.com/content/15/4/88.abstract
AB 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.TOPICS: Analysis of individual factors/risk premia, performance measurement, factor-based models