Footnote:
In: Journal of Accounting, Auditing and Finance, Vol. 25, No. 2, 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 25, 2013 erstellt
Description:
We propose an alternative way of using accounting multiples to predict future returns. We define excess multiple as the difference between an accounting multiple and the warranted multiple based on a firm's fundamental value drivers. Firms with low excess multiples have higher one-to-three years ahead stock returns than firms that have high excess multiples. This difference in returns is economically and statistically significant and cannot be explained by Fama-French three factors or a momentum factor