Abstract

http://ssrn.com/abstract=1970693
 
 

References (7)



 


 



Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years


Wesley R. Gray


Alpha Architect; Drexel University - LeBow College of Business

Jack Vogel


Alpha Architect; Drexel University

March 29, 2012

Journalof Portfolio Management, Forthcoming

Abstract:     
We compare the investment performance of portfolios sorted on different valuation measures. EBITDA/TEV has historically been the best performing metric and outperforms many investor favorites such as price-to-earnings, free-cash-flow to total enterprise value, and book-to-market. We also explore the investment potential of long-term valuation ratios, which replace one-year earnings with an average of long-term earnings. In contrast to prior empirical work, we find that long-term ratios add little investment value over standard one-year valuation metrics.

Keywords: enterprise multiple, price to earnings, price to book, free cash flow, gross profits, valuation metrics

JEL Classification: G10, G14

Accepted Paper Series


Not Available For Download

Date posted: December 13, 2011 ; Last revised: October 1, 2012

Suggested Citation

Gray, Wesley R. and Vogel, Jack, Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years (March 29, 2012). Journalof Portfolio Management, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1970693 or http://dx.doi.org/10.2139/ssrn.1970693

Contact Information

Wesley R. Gray (Contact Author)
Alpha Architect ( email )
213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)
HOME PAGE: http://www.alphaarchitect.com
Drexel University - LeBow College of Business ( email )
3141 Chestnut St
Philadelphia, PA 19104
United States
Jack Vogel
Alpha Architect ( email )
213 Foxcroft Road
Broomall, PA 19008
United States
215-882-9983 (Phone)
HOME PAGE: http://alphaarchitect.com/
Drexel University ( email )
LeBow College of Business
Philadelphia, PA 19104
United States
Feedback to SSRN


Paper statistics
Abstract Views: 9,086

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.266 seconds