Trading Strategy on Eva and Mva: Are They Reliable Indicators of Future Stock Performance?

Posted: 19 Dec 2005

See all articles by Robert Ferguson

Robert Ferguson

AnswerToGo

Joel Rentzler

City University of New York (CUNY) - Baruch College

Susana Yu

Iona College

Abstract

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

Ferguson, Robert and Rentzler, Joel and Yu, Susana, Trading Strategy on Eva and Mva: Are They Reliable Indicators of Future Stock Performance?. Journal of Investing, 2006. Available at SSRN: https://ssrn.com/abstract=871064

Robert Ferguson

AnswerToGo ( email )

Miami Beach, FL 33140
United States

Joel Rentzler

City University of New York (CUNY) - Baruch College ( email )

17 Lexington Avenue
New York, NY 10010
United States

Susana Yu (Contact Author)

Iona College ( email )

715 North Avenue
New Rochelle, NY 10801
United States

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