Optimizing Value
Published in The Journal of Portfolio Management • Jan 30, 2016
Authors:,,
Ran Leshem
Lisa R. Goldberg
A. C. Cummings
Abstract
In a series of empirical studies, the authors investigated the performance of two popular value metrics: book-toprice (B/P) ratio and earnings-to-price (E/P) ratio. In an academic study based on data from Ken French’s website, they found that, though strategies based on E/P ratio had higher return a...
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