Multiples Valuation and Abnormal Returns
Repository Usage Stats
I investigate whether three commonly used valuation multiples—the Price-to-Earnings Ratio, the EV-to-EBITDA multiple, and the EV-to-Sales multiple—can be used to identify mispriced securities. I find that multiples are successful in identifying mispricing in both the equal and value weighted portfolios relative to the One-Factor CAPM. I further find, after controlling for size and value effects, that the bulk of the abnormal returns are concentrated in smaller firms. Moreover, the Sales multiple seems to outperform the other two multiples in the equal weighted design. In the value weighted design, however, the P/E ratio outperforms the others.
CitationYoon, Jun (2015). Multiples Valuation and Abnormal Returns. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/9589.
More InfoShow full item record
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.
Rights for Collection: Undergraduate Honors Theses and Student papers
Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info