Does the values premium exist in international portfolios by combining CAPE ratio with Book-to-market in well-developed european markets

Abstract

This 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.

Date of Award	26 Apr 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Barroso (Supervisor)