Presenting “The X-value factor” at 12:15-13:30 in QA406.
PLEASE MIND OUR NEW VENUE FOR THIS YEAR!
On 31 January 2020, we have Thiago de Oliveira Souza of University of Southern Denmark visiting us. He is going to give a seminar on The X-value factor
“ at 12:15-13:30 in room A406 in Building Q, Budapest University of Technology and Economics, Faculty of Economic and Social Sciences, Magyar tudósok körútja 2, 1117 Budapest. Sandwiches will be provided. Please help the organisers by registering in advance at firstname.lastname@example.org Registration is free.
Also, see our Facebook event.
Abstract: Value normalizes size by book equity, which is a (relatively bad) proxy for expected cash flows. X-value normalizes size by the recursive out-of-sample expectation of each firm’s net income, based on its financials, with coefficients estimated by industry. Unlike value (but similarly constructed), the resulting X-value factor is unspanned by the Fama/French factors – market, size, value, investment and profitability – individually or in different combinations (each factor and the market; all factors together; all except value). X-value spans the value and investment premiums with a Sharpe ratio of 0.57 (compared to 0.39 for value).