文章基本信息

标题：Market Value Added as an Investment Selection Tool: A Portfolio Separation Test
本地全文：下载
作者：David Cary ; James Chong ; Monica He 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2004
卷号：1
期号：1
页码：114-118
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper explores whether Market Value Added(MVA)also has forecasting content that can be used to form a higher performing and a lower performing portfolio from a larger buy list.Our analysis is based on a "Portfolio Separation Test”,which has its methodological roots in forecast evaluation criteria often employed to appraise a forecast's economic effectiveness.The success of a model's forecast is measured by its ability to determine the directional bet required to earn profits in excess of some benchmark.During our study period we found that MVA provides the basis for two portfolios with statistically different cumulative returns.
关键词：market value added;portfolio separation;forecast valuation;trading strategy.