Loading…
Welcome to the 2018 AFS Annual Meeting, being held this year, in conjunction with FPA in Chicago!
Wednesday, October 3 • 3:30pm - 4:30pm
I3a - The Sustainable Growth Rate, DuPont Analysis, and the Cross-Section of Returns

Sign up or log in to save this to your schedule and see who's attending!

Feedback form is now closed.
We investigate the sustainable growth rate and DuPont components for asset pricing and portfolio performance evaluation. Employing data from 1990 through 2012 and a three-component DuPont ROE, we present evidence indicating that long short investment strategies based on sustainable growth rate, ROE, profit margin, and asset turnover yield significant positive alphas while long-short investment strategies based on the equity multiplier yield significant negative alphas. Surprisingly, the long-short portfolios based on equity multiplier produced significant alpha even in the following two quarters.

Author(s): Yuntaek Pae, Omid Sabbaghi, Navid Sabbaghi

Presenters
YP

Yuntaek Pae

Assistant Professor of Finance, Central Washington University


Wednesday October 3, 2018 3:30pm - 4:30pm
Michigan 1C