Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to time investments based on their value spreadsThe difference in the [...]
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo ManoelWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been well documented by studies such as “Buffett’s Alpha,” “Global Return [...]
Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than their “current-asset value”, “a rough index of the liquidating value”. [...]
The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]
Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, which added momentum to market beta, size, and value, becoming [...]
Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]
Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]
Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor. Ronen Israel, Kristoffer Laursen, Scott A. Richardson in "Is (Systematic) Value Investing Dead" There is a large [...]
Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning a humbling lesson right now that Mr. Market has taught [...]
Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: Struggles in [...]
From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]
Diversification. It looks great on paper, but for the past ten years, being globally and “Factor” diversified has been anything but great. Understandably, many diversified investors are looking at their returns and wondering why they [...]
Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]
