Article2000

A Free Cash Flow Investment Anomaly

Kenneth S. Hackel · Joshua Livnat · Atul Rai

30 citations0/0 files storedJournal of Accounting Auditing & Finance

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Abstract

This paper examines an investment strategy based on free cash flows. The strategy selects securities into a “long” portfolio that outperforms the market index, returns of similar size securities, and returns of similar risk (beta and book-to-market) securities. The portfolio includes firms that are consistent free cash flow generators, that have low financial leverage, and that sell at low free cash flow multiples.

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References

1992The Cross-Section of Expected Stock Returns 1986Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers 1973Risk, Return, and Equilibrium: Empirical Tests 1985Does the Stock Market Overreact?1981The relationship between return and market value of common stocks 1994Contrarian Investment, Extrapolation, and Risk 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?1992Valuation: Measuring and managing the value of companies

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