Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The ...
Keywords:
International finance, valuation, Asset Pricing, market efficiency, Fundamental analysis, Point-in-time, Transaction costs, Principal components, Instrumented principal components analysis