TY - JOUR T1 - Trading Strategy on EVA® and MVA JF - The Journal of Investing SP - 88 LP - 94 DO - 10.3905/joi.2006.669105 VL - 15 IS - 4 AU - Robert A Ferguson AU - Joel Rentzler AU - Susana Yu Y1 - 2006/11/30 UR - https://pm-research.com/content/15/4/88.abstract N2 - The positive risk-adjusted return of the winner group is found when adjusted-MVA is designated as the ranking variable. This return is higher than the one in the loser group. However, both returns are at an insignificant level. The p-values for each factor loading as well as the F-values are all significant, while the adjusted R-squares range between 0.5578–0.8801. Hence, the authors suspect that the adjusted-MVA variable may be a weak alternative indicator of earnings momentum. At the same time, the authors conclude that the Fama-French model successfully captures the return components.TOPICS: Analysis of individual factors/risk premia, performance measurement, factor-based models ER -