Yong H. Kim

Can Composite Value Measures Enhance Portfolio Performance

There is considerable evidence that value stocks, which have low market multiples, earn higher long-term returns than growth stocks, which have high market multiples, but the relative efficiency of different value measures remains unclear. This research investigates whether composite value measures can be used to enhance the performance of value portfolios. It examines the relative efficiency of individual value measures and determines whether there is a significant value premium for a broad cross-section of tradable U.S. stocks.

Abandonment value in capital budgeting: a mathematical programming approach

Abstract While some general algorithms for evaluating interrelated capital projects with abandonment values are illustrated in a separate study, this paper shows how an integer program may be used to resolve the project interaction problem when including abandonment value in capital budgeting. In addition, by employing the mathematical programming framework, the optimal capital budgeting decision is obtained for all the projects under consideration. Thus, the technique provided here gives an efficient and general algorithm for capital budgeting decisions.