Presenter(s)

    Catherine M. Moerman

    Download

    Download Project (256 KB)

    Description

    A missing element in the top down stock selection approach used by the UD Flyer Fund is the relative valuation of industry groups i.e. those groupings of firms below the sector level. In this study I analyze the relationship between returns to S&P industry groups and five different measures of relative valuation: (1) Price to Earnings (2) Price to Earnings (Forward) (3) Price to Book (4) Price to Cash Flow and (5) Price to Sales. Using a small but stratified sample of 18 industry groups (8 of 10 S&P sectors are represented), I regress returns on each of the relative valuation measures for two time periods: (1) 9-30-11 through 9-30-12 and (2) 12-31-11 through 9-30-12. I use R square, the B coefficients and their T statistics to measure the relationship between returns and the relative valuation measures.

    Publication Date

    4-17-2013

    Project Designation

    Independent Research

    Primary Advisor

    Robert D. Dean

    Primary Advisor's Department

    Business-Office of the Dean

    Keywords

    Stander Symposium project

    A Cross Sectional Analysis of Returns to S&P Industry Groups Over the Trading Range Period,2011-2012.

    Share

    COinS