Quantitative Value Investing in Europe: What works for achieving alpha by du Toit Tim & Vanstraceele Phillip

Author:du Toit, Tim & Vanstraceele, Phillip [du Toit, Tim]
Language: eng
Format: epub
Publisher: LiberWriter.com
Published: 2014-07-28T04:00:00+00:00

Note: For the full test results go to appendix 2

The results above show that the market rewards companies that take risks and punishes those that are too conservative. Companies with high cash balances and thus low debt to market value ratios (Q1) underperform those with less cash and a high amount of debt (on average).

This was most extreme with mid-sized companies where returns are linear, and highly leveraged companies outperformed companies with low amounts of leverage by over 140%. But overall the results were mixed, showing the net debt-to-market value ratio as a weak factor for achieving market outperformance.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.