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The Enterprise Multiple Investment Strategy: International Evidence

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  • Walkshäusl, Christian
  • Lobe, Sebastian

Abstract

The 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.

Suggested Citation

  • Walkshäusl, Christian & Lobe, Sebastian, 2015. "The Enterprise Multiple Investment Strategy: International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(4), pages 781-800, August.
    • Handle: RePEc:cup:jfinqa:v:50:y:2015:i:04:p:781-800_00
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    Cited by:

    1. Wenguang Lin & Gary C. Sanger, 2019. "An alternative fundamental weighting scheme based on enterprise value multiple," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 146-156, March.
    2. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.

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