Academics typically define value as the ratio of a company’s book value to market value (B/M), but this is just one of many possible ways to define value. A paper by Gray and Vogel * empirically compares the performance of various alternative value measures and finds EBITDA/EV (earnings before interest, taxes, depreciation and amortization to total enterprise value) to be the most powerful one, with a performance almost double that of traditional B/M.
Although this may be news to academic researchers, we are actually not surprised by this finding, because we have always included a wide range of valuation measures in our research database, and also found EBITDA/EV to be among the most effective ones. In fact, this variable has been included in some of our models for over a decade already. Thus, we see this research as an example of academic literature catching up with known insights among practitioners, rather than the other way around.
Onze onderzoekers publiceren veel whitepapers die zijn gebaseerd op hun eigen empirische onderzoek, maar ze kijken ook naar kwantitatief onderzoek dat door anderen is gedaan. David Blitz, hoofd Quant Equities Research, vertelt over opvallende externe papers.