A1 Journal article (refereed), original research
The dirty dozen of valuation ratios: Is one better than another?


Publication Details
Authors: Pätäri Eero, Karell Ville, Luukka Pasi, Yeomans Julian Scott
Publisher: Joim
Publication year: 2018
Language: English
Related Journal or Series Information: Journal of Investment Management
Volume number: 16
Issue number: 2
Start page: 1
End page: 34
Number of pages: 34
ISSN: 1545-9144
JUFO-Level of this publication: 1
Open Access: Not an Open Access publication

Abstract

This paper compares the efficacy of both traditional valuation ratios and an extensive set of related combination criteria in identifying the future best-performing stocks for a comprehensive U.S. sample over the period 1971–2013. Value portfolios formed on different criteria have remarkably different exposures to style factors. We find evidence of strong relative efficacy of three enterprise value multiples (EBIT/EV, EBITDA/EV, and S/EV). Particularly, the evidence for the unique characteristics of S/EV contributes to the existing literature. The defensive characteristic of high dividend yield is pervasive both as a stand-alone criterion and as a combination sub-criterion.


Research Areas

Last updated on 2018-03-04 at 08:56