What is the Maximum Return Predictability Permitted by Asset Pricing Models?

2012 ◽  
Author(s):  
Dashan Huang
Keyword(s):  
Asset Pricing ◽  
Return Predictability ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals The Enterprise Multiple Investment Strategy: International Evidence

2015 ◽  
Vol 50 (4) ◽  
pp. 781-800 ◽  
Author(s):  
Christian Walkshäusl ◽  
Sebastian Lobe
Keyword(s):  
Asset Pricing ◽  
Cross Section ◽  
Investment Strategy ◽  
Return Predictability ◽  
Value Premium ◽  
Pricing Models ◽  
International Evidence ◽  
Asset Pricing Models ◽  
Promising Strategy ◽  
International Portfolio

AbstractThe enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of countries, remains largely unexplained by existing asset pricing models, is robust after controlling for comovement with the respective U.S. premium, and is highly persistent for up to 5 years after portfolio formation, making it a promising strategy for investors.

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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