Value premium decline?
Posted: May 6th, 2024, 4:17 pm
I have been rereading some of my FT investment books but they seem to be a bit dated. I am now reading a few academic papers about the decline in success of value investing (post 2009 I presume; I am sure this isn't the first time this claim has been made). Any threads about better markers of value in the post 2009 world that I have missed than price to book PE, yield, debt?
Not sure how many of these are what we academics call open access!:
Gonçalves, A. S., & Leonard, G. (2023). The fundamental-to-market ratio and the value premium decline. Journal of Financial Economics, 147(2), 382-405.
Yin, L., & Liao, H. (2024). Anatomy of recent value premium's travails. International Review of Financial Analysis, 103325.
Arnott, R. D., Harvey, C. R., Kalesnik, V., & Linnainmaa, J. T. (2021). Reports of value’s death may be greatly exaggerated. Financial Analysts Journal, 77(1), 44-67. (this must be Rob Arnott?)
Lev, B., & Srivastava, A. (2019). Explaining the recent failure of value investing. NYU Stern School of Business. (this one is not behind a paywall).
A few of the papers including this one make a big fuss about "intangible assets" like serious investment in R and D that in some sense are keeping may of the big growth stocks alive and well.
I just cant help look at dividends, debts and PE ratios! Am I old fashioned?
Any thoughts or threads I should be reading? Many thanks all.
David C.
Not sure how many of these are what we academics call open access!:
Gonçalves, A. S., & Leonard, G. (2023). The fundamental-to-market ratio and the value premium decline. Journal of Financial Economics, 147(2), 382-405.
Yin, L., & Liao, H. (2024). Anatomy of recent value premium's travails. International Review of Financial Analysis, 103325.
Arnott, R. D., Harvey, C. R., Kalesnik, V., & Linnainmaa, J. T. (2021). Reports of value’s death may be greatly exaggerated. Financial Analysts Journal, 77(1), 44-67. (this must be Rob Arnott?)
Lev, B., & Srivastava, A. (2019). Explaining the recent failure of value investing. NYU Stern School of Business. (this one is not behind a paywall).
A few of the papers including this one make a big fuss about "intangible assets" like serious investment in R and D that in some sense are keeping may of the big growth stocks alive and well.
I just cant help look at dividends, debts and PE ratios! Am I old fashioned?
Any thoughts or threads I should be reading? Many thanks all.
David C.