Value Investing Research

///Value Investing Research

Can Low Vol Strategies Be Improved

By |2019-07-29T10:42:55-04:00July 30th, 2019|Research Insights, Factor Investing, Value Investing Research, Low Volatility Investing|

My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]

Purchasing Managers’ Index (PMI) and Factor Performance

By |2019-07-16T12:38:43-04:00July 23rd, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]

Value Investing & Concentration

By |2019-07-18T16:51:24-04:00July 18th, 2019|Research Insights, Value Investing Research|

As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) has underperformed (1) the market and (2) Growth stocks. So [...]

Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt

By |2019-07-01T10:51:35-04:00July 1st, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Trend Following, Media, Value Investing Research|

In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written by Andrew Miller, examines Large-Cap Value portfolios. The last post, [...]

Large-Cap Price-to-Book Investing: What is Dead May Never Die

By |2019-06-19T12:43:04-04:00June 25th, 2019|Guest Posts, Value Investing Research, Size Investing Research|

In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which is to be replied with "But rises again harder and [...]

Factor Investing Research On Steroids

By |2019-06-18T13:04:25-04:00June 18th, 2019|Quality Investing, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin WangWorking paperA version of this paper can be found here What are the research questions? Do the [...]

Value Factor Valuations Over Time: US and Developed

By |2019-06-18T10:25:08-04:00June 11th, 2019|Research Insights, Factor Investing, Value Investing Research|

We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool maps out the median valuations for the top decile and [...]

The Cross-Section of Emerging Market Stock Returns

By |2019-06-10T11:41:48-04:00June 11th, 2019|Research Insights, Value Investing Research, Momentum Investing Research|

Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the Research Questions? As a non-academic finance [...]

The Re-Death of Value, or Déjà Vu All Over?

By |2019-06-12T17:10:17-04:00June 4th, 2019|Research Insights, Guest Posts, Value Investing Research|

The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to conclude that value investing is dead. From 2009 through March [...]

Buying Stocks Trading Above 10x Sales–A Good Idea?

By |2019-05-09T08:42:20-04:00May 9th, 2019|Research Insights, Factor Investing, Value Investing Research|

Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea and how did it do in the past? Given that [...]

Deep Dive into the Value Factor

By |2019-04-30T09:25:03-04:00May 2nd, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]

A Remarkable New Factor: The Cash Conversion Cycle

By |2019-04-09T13:32:08-04:00April 9th, 2019|Research Insights, Factor Investing, Value Investing Research|

The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the research questions? The barrier to entry into the factor zoo [...]

Factor Investing in Practice

By |2019-03-14T08:21:47-04:00March 14th, 2019|Research Insights, Factor Investing, Academic Research Insight, Value Investing Research, Size Investing Research|

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art Johnson for mentioning this paper![/ref] What are the research questions? [...]

How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons

By |2019-02-15T09:30:11-04:00February 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Size Investing Research|

Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Size and Value in China

By |2019-01-28T00:05:53-04:00January 31st, 2019|Research Insights, Guest Posts, Academic Research Insight, Value Investing Research, Size Investing Research|

Size and Value in China Jianan Liu, Rob Stambaugh, and Yu YuanJournal of Financial EconomicsA version of this paper can be found here What are the research questions? China represents the world's second largest stock market [...]

EBITDA, EBITDA, EBITDA…that’s all, folks!

By |2019-02-06T16:00:32-04:00January 29th, 2019|Research Insights, Value Investing Research|

Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise Multiples, defined as total enterprise value of the firm divided [...]

Value, Momentum & Carry Across Asset Classes

By |2019-01-24T16:25:43-04:00January 25th, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, [...]

After a Lost Decade, Will Value Get its Groove back in 2019?

By |2018-12-11T09:23:32-04:00December 11th, 2018|Research Insights, Factor Investing, Value Investing Research|

Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with poor returns over the past decade, the question of whether [...]

Factor Investing Fact Check: Are Value and Momentum Dead?

By |2018-11-15T16:13:03-04:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset classes. It doesn't matter whether you look at the other [...]

Value and Momentum and Risk

By |2018-09-25T10:16:46-04:00September 25th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite [...]