ID: 46639
Autoria:
Rafael Igrejas, Raphael Braga da Silva, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto, Paulo Vitor Jordão da Gama Silva.
Fonte:
Revista Brasileira de Estratégia, v. 10, n. 3, p. 431-443, Setembro-Dezembro, 2017. 13 página(s).
Palavras-chave:
cross-section , Enterprise multiple , expected returns , risk factors
Tipo de documento: Artigo (Inglês)
Ver Resumo
The estimation of cross-section returns for defining investment strategies based on financial multiples has been proven to be relevant following Fama and French’s (1992) research. One of the challenges for such studies is to identify the main variables that are suitable for explaining the returns in a particular context because the variables that are widely used in developed markets behave differently in emerging countries. In this study, we analyze the predictive power of the EV/EBITDA multiple in the context of the Brazilian stock market. The results show that the analyzed multiple has a strong relationship with the future returns of companies listed on the BM&F BOVESPA index between 2005 and 2013. For the period under review, the investment strategy of purchasing stocks when EV/EBITDA was low and selling stocks when EV/EBITDA was high showed abnormal returns of 15.94% per year, even after controlling for risk factors.
