Value Investing Research

///Value Investing Research

Value Factor Valuations Over Time: US and Developed

By |2019-06-11T16:15:39-04:00June 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 [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34-04:00September 11th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

The Best Research Paper Ever Written on Trading Costs

By |2018-08-14T09:49:04-04:00August 14th, 2018|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a [...]

Trust the Process

By |2018-08-16T08:10:20-04:00June 21st, 2018|Research Insights, Factor Investing, Trend Following, Key Research, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

The Future for Factor Investing May Be Different Than its Backtested Past

By |2018-06-07T07:27:05-04:00June 8th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Uncategorized|

We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while [...]

Factor Regressions Problems and How to Fix Them

By |2018-06-01T12:51:45-04:00June 1st, 2018|Research Insights, Factor Investing, Value Investing Research|

Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, Quality, etc. Luckily, there are some great free tools available [...]

Podcast: Value Investing in India and Technology

By |2018-05-14T09:56:14-04:00May 14th, 2018|Podcasts and Video, Value Investing Research|

Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's Reunion Radio. Hosts Jeremy Schwartz and Wes Gray talk to [...]

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