Analyzing Valuation Measures: A PerformanceHorse Race over the Past 40 Years
比较了不同估值指标构建的投资组合表现，发现EBITDA/TEV历史表现最佳，优于市盈率等常用指标，且长期估值比率相比一年期指标并无额外价值。
In this article, the authors compare the investment performance of portfolios sorted on different valuation measures. They find that EBITDA/TEV has been the best performing metric, historically, and outperforms many investor favorites, such as price-to-earnings ratio, free cash flow to total enterprise value, and book-to-market ratio. The authors also explore the investment potential of long-term valuation ratios, which replace one-year earnings with an average of long-term earnings. They find that in contrast to prior empirical work, long-term ratios add little investment value over standard one-year valuation metrics. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>portfolio theory</ext-link>, <ext-link>statistical methods</ext-link>