Browsing by Author "Amini, Fatih Hassan"
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- Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european marketsPublication . Amini, Fatih Hassan; Barroso, PedroThis paper examines if the value premium still exists when incorporating market-level and firm level conditions together. To evaluate my research, I have presented several tested portfolio strategies. I used two different measures to build these portfolios. On the market-level perspective, I have used the CAPE ratio with some adjustments, and on the firm-level perspective, I have used book-to-market with a slight adjustment. The zero-cost portfolios hold a long position on the cheapest markets value stocks and short sell the expensive markets growth stocks. The strategy can achieve above-average results regularly and beat the market. On the other hand, in times of crisis, the strategy performs poorly, but can still beat the market under the global financial crisis.