Trading Strategy on Eva and Mva: Are They Reliable Indicators of Future Stock Performance?
Posted: 19 Dec 2005
Positive risk-adjusted return of the winner group is found when adjusted-MVA is designated as the ranking variable. This return is higher than the one in the loser group. However, both returns are at insignificant level. The p-values for each factor loading, and the F-values are all significant while the adjusted R-squares are between 0.5578-0.8801. Hence, we suspect that the adjusted-MVA variable may be a weak alternative indicator of earnings momentum. At the same time, we conclude that Fama-French Model has successfully captured the returns components.
JEL Classification: G10, G14
Suggested Citation: Suggested Citation