Journal of Banking and Finance ·Volume 86, Pages 53-69· JAN 2017
捕捉价值溢价 - 来自基于公允价值的投资略的全球证据
作者：René-Ojas Woltering (Ecole h?telière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland; IREBS International Real Estate Business School, University of Regensburg)
Christian Weis (IREBS International Real Estate Business School, University of Regensburg)
Felix Schindler (Steinbeis University Berlin)
Steffen Sebastian (IREBS International Real Estate Business School, University of Regensburg)
摘要：
本文考察了全球投资战略框架内价值股的风险溢价。我们以基于公允价值的净资产价值（NAVs）作为基本价值的代理变量，测试绝对或相对价格错误定价哪个更适合于捕捉全球溢价。我们发现，相对于一个国家的平均价格与基本价值的比率，投资于最被低估的股票是获得更高风险调整后收益的关键。全球价值组合按相对定价排序的年度超额收益率为10.0％，对常见风险因子进行控制后仍然显著。
关键词：价值溢价，全球多元化，资产净值，投资策略
Capturing the value premium – global evidence from a fair value-based investment strategy
René-Ojas Woltering (Ecole h?telière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland; IREBS International Real Estate Business School, University of Regensburg) Christian Weis (IREBS International Real Estate Business School, University of Regensburg) Felix Schindler (Steinbeis University Berlin) Steffen Sebastian (IREBS International Real Estate Business School, University of Regensburg)
ABSTRACT
This paper examines the risk premium of value stocks within a global investment strategy framework. We test whether absolute or relative mispricing is better suited to capturing the global value premium by using fair value-based net asset values (NAVs) as our proxies for fundamental value. We find that investing in the most underpriced stocks relative to the average ratio of price to fundamental value in a country is the key to achieving superior risk-adjusted returns. The annualized excess return of the global value portfolio sorted according to relative mispricing is 10.0%, and remains significant after controlling for common risk factors.
Keywords: Value premium, Global diversification, Net asset value, Investment strategy
原文链接：
https://www.sciencedirect.com/science/article/pii/S0378426617301334
翻译：张展
