2020/10

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By Jack Forehand, CFA The Price/Book has probably been the most important valuation ratio of the past century. If you look at the academic research that supports value investing, you won’t find any other ratio that is referenced more often. When Fama and French built their famous 3 factor model, value was measured using the Book/Market, which is the inverse of the Price/Book, and much of the academic research since then has followed suit. Since many… Read More
blog.validea.com

Price/Book Ratio (株価純資産倍率) の限界

1. 現在の経済で資産の80%以上を占める無形資産が考慮されない

2. 純資産がマイナスになると算出できない

3. クオリティファクターが平均以下の銘柄が選ばれてしまう

3. バリュー指標に基づく投資のリターンが、PBR のみ悪いことが多い

ただし

1. PBR は他のバリュー指標より変動しにくい

2. 株価にはノイズがあり、PBR の無効性を決定づけるにはまだ時間がかかる

3. 割安株は無形資産が少ない

JUGEMテーマ:資産運用