Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for October 2020 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for October 2020 (Final)
1st ETF 2nd ETF 3rd ETF

Value Investing Still on Death Row?

| | Posted in: Value Premium

Does a decade of underperformance by some widely followed stock value strategies mean it is time to throw in the towel? In their March 2020 paper entitled "Is (Systematic) Value Investing Dead?", Ronen Israel, Kristoffer Laursen and Scott Richardson assess the value of (near-term, say two years) fundamental information as a driver of stock returns from both theoretical and empirical perspectives. They consider five widely used measures of value: (1) book value-to-price ratio (B/P); (2) earnings-to-price ratio (E/P); (3) forward earnings-to-price ratio (FEP); (4) sales-to-enterprise value ratio (S/EV); and, (5) cash flow-to-enterprise value ratio (CF/EV). They also investigate several recent arguments against value investing. Using data for large (small) capitalization stocks spanning 21 (25) countries with sample periods starting between 1984 and 2002 and all extending through 2019, they find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)