Value Investing Research

///Value Investing Research

Value Investing

Will ETFs Destroy Factor Investing? Nope.

By | 2017-08-18T16:52:04+00:00 February 17th, 2017|Factor Investing, Research Insights, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing, Size Investing Research|

One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient [...]

Dividing Value into “Priced” and “Mispriced”

By | 2017-08-18T17:06:41+00:00 November 3rd, 2012|Research Insights, Value Investing Research|

Gerakos and Linnainmaa have a new paper out: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2083166 and http://www.asb.unsw.edu.au/schools/bankingandfinance/Documents/J.Gerakos,%20J.T.%20Linnainmaa%20-%20The%20Unpriced%20Side%20of%20Value.pdf Here is code to perform the decomposition: http://faculty.chicagobooth.edu/juhani.linnainmaa/ValueDecomposition.do   Summary Book-to-market (BE/ME) ratios explain variation in expected returns because they correlate with recent changes [...]

Looking to Improve your Factor Investing? Examine the Trend of Profits

By | 2017-08-18T17:01:20+00:00 April 4th, 2017|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research|

A few years ago, the profitability "quality" factor was originally proposed by Robert Novy-Marx. Here is a snippet from the abstract of the paper: Profitability, measured by gross profits-to-assets, has roughly the same power as [...]

Value and Momentum Investing in Frontier Stock Markets

By | 2017-08-18T16:53:54+00:00 April 18th, 2017|Factor Investing, Value Investing Research, Momentum Investing Research|

Value and Momentum investing have been studied across many different markets and asset classes (Asness et al 2013) and have shown to be effective factors. A working paper, "Frontier Stock Markets: Local vs Global Factors" [...]

Comments Off on Value and Momentum Investing in Frontier Stock Markets

Visual Active Share: A Tool to Help Investors Make Better Decisions

By | 2017-08-18T16:52:56+00:00 April 6th, 2017|Factor Investing, Research Insights, Tool How-To-Guides, Tool Updates, Value Investing Research, Investor Education, Momentum Investing Research|

We've talked extensively about the concepts of active share and active fee, which aren't flawless metrics, but they have elevated the discussion around identifying and understand the closet indexing phenomenon. To be clear, closet indexing [...]

“Alternative” Facts about Formulaic Value Investing

By | 2017-08-18T17:12:00+00:00 April 22nd, 2017|Research Insights, Key Research, Behavioral Finance, Value Investing Research, $vlue, $brk-a|

A new paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half of my inbox is filled with questions regarding this [...]

Chinese Market Anomalies – The Factor Killer?

By | 2017-08-18T17:08:10+00:00 May 12th, 2017|Value Investing Research, Momentum Investing Research, Size Investing Research, Active and Passive Investing|

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people [...]

The Value Premium: Risk or Mispricing?

By | 2017-08-18T16:55:06+00:00 May 24th, 2017|Larry Swedroe, Research Insights, Behavioral Finance, Other Insights, Value Investing Research|

One of the great debates in finance is whether the source of the value premium is risk-based or a behavioral anomaly. In our book, “Your Complete Guide to Factor-Based Investing,” my co-author Andrew Berkin and [...]

The Value Momentum Trend Philosophy

By | 2017-08-18T16:55:07+00:00 June 6th, 2017|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

If you've been reading our blog for a number of years you're 1) probably a finance geek, and you're 2) probably tired of us discussing the following themes: Value investing: buy cheap stocks (see our [...]