Gray, Wesley and Kern, Andrew (2008): Fundamental Value Investors: Characteristics and Performance.
Download (128Kb) | Preview
We examine novel data on the detailed investment decisions of professional value investors. We find evidence that value investors are not easily defined: they exploit traditional tangible asset valuation discrepancies such as buying high book-to-market stocks, but spend more time analyzing intrinsic value, growth measures, and special situation investments. We also test whether fundamental value investors outperform the market in our sample (January 2000 to June 2008). Analyzing buy-and-hold abnormal returns and calendar-time portfolio regressions, we conclude that value investors have stock picking skills.
|Item Type:||MPRA Paper|
|Original Title:||Fundamental Value Investors: Characteristics and Performance|
|Keywords:||Value investing, abnormal returns, hedge funds, market efficiency, Valueinvestorsclub.com performance|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Wesley Gray|
|Date Deposited:||09. Jan 2009 06:39|
|Last Modified:||11. Feb 2013 20:40|
Ackert, Lucy and Yisong Tian, 1998, The introduction of Toronto index participation units and arbitrage opportunities in the Toronto 35 index option market, Journal of Derivatives 5, 44-53.
Baks, Klaas, Andrew Metrick, and Jessica Wachter, 2001, Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation, The Journal of Finance 56, 45-84.
Banz, Rolf, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
Barber, Brad, Reuven Lehavy, Maureen McNichols and Brett Trueman. 2001. Can investors profit from the prophets? Security analyst recommendations and stock returns, The Journal of Finance 56, 531-563.
Barberis, Nicholas and Richard Thaler, 2003, A survey of behavioral finance, Handbook of the Economics of Finance 1, 1053-1128.
Barker, Robert, 2001, This message board may really light up, Businessweek, http://www.businessweek.com/archives/2001/b3722161.arc.htm, accessed October 30, 2008.
Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis, The Journal of Finance 32, 663-682.
Boehmer, Ekkehart, Charles M. Jones, and Xiaoyan Zhang, 2008, Which shorts are informed? , The Journal of Finance 63, 491-527.
Brown, Stephen and Jerold Warner, 1985, Using daily stock returns: the case of event studies, Journal of Financial Economics 14, 3-31.
Brown, Stephen and William Goetzmann, 1995, Performance persistence, The Journal of Finance 50, 679-698. Buffett, Warren, 1992, 1992 Berkshire Hathaway Shareholder Letter, Berkshire Hathaway Inc.
Carhart, Mark, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57-82.
Carlson, Robert, 1970, Aggregate performance in mutual funds, Journal of Financial and Quantitative Analysis 5, 1-32.
Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristics based benchmarks, The Journal of Finance 52, 1257-1274.
Desai, Hemang and Prem C. Jain, 1995, An analysis of the recommendations of the superstar money managers at Barron’s annual roundtable, The Journal of Finance 50, 1257-1273.
Elton, Edwin, Martin Gruber, and Christopher Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133-157.
Fama, Eugene and Kenneth French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.
Fama, Eugene, 1998, Market efficiency, long-term returns, and behavioral finance, The Journal of Financial Economics 49, 283-306.
Goetzmann, William and Roger Ibbotson, 1994, Do winners repeat? Patterns in mutual fund performance, Journal of Portfolio Management 20, 9-18.
Gray, Wesley, 2008, Information exchange and the limits of arbitrge, University of Chicago working paper.
Grinblatt, Mark, and Sheridan Titman, 1992, The persistence of mutual fund performance, The Journal of Finance 47, 1977-1984.
Grossman, Sanford and Joseph Stiglitz, 1980, On the impossibility of informational efficient markets, American Economic Review 70, 393-408.
Hendricks, Darryll, Jayendu Patel, and Richard Zechauser, 1993, Hot hands in mutual funds: the persistence of performance 1974-1988, The Journal of Finance 48, 93-130.
Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, Market underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208.
Jensen, Michael C. 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.
Kahneman, Daniel and Amos Tversky, 1979, Prospect theory: an analysis of decision under risk, Econometrica 47, 263-291.
Kahneman, David, 1973, Attention and Effort, Englewood Cliffs: Prentice-Hall.
Kosowski, Robert, Allan Timmermann, Russ Wermers, and Hal White, 2006, Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis, The Journal of Finance 61, 2551-2595.
Lehman, Bruce, and David Modest, 1987, Mutual fund performance evaluation: a comparison of benchmarks and a benchmark of comparisons, The Journal of Finance 42, 233-265.
Lyon, John, Brad Barber, and Chih-Ling Tsai, 1999, Improved methods for tests of long-run abnormal stock returns, The Journal of Finance 54, 165-201.
Malkiel, Burton, 1995, Returns from investing in mutual funds 1971-1991, The Journal of Finance 50, 549-572.
Martin, Gerald and John Puthenpurackal, 2008, Imitation is the sincerest form of flattery: Warren Buffett and Berkshire Hathaway, University of Nevada working paper.
Mitchell, Mark and Erik Stafford, Managerial decisions and long-term stock performance, Journal of Business 73, 287-329.
Mohanram, Partha, 2005, Separating winners from losers among low book-to-market stocks using financial statement analysis, Review of Accounting Studies 10, 133-170.
Munger, Charles, 2003, Academic economics: strengths and faults after considering interdisciplinary needs, Herb Kay Undergraduate Lecture, University of California, Santa Barbara Economics Department.
Piotroski, Joseph, 2000, Value investing: the use of historical financial information to separate winners from losers, The Journal of Accounting Research 38, 1-41.
Pontiff, Jeffrey, 1996, Costly arbitrage: evidence from closed-end funds, Quarterly Journal of Economics 111, 1135-1151.
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 12, 9-16.
Seyhun, Nejat, 1988, The information content of aggregate insider trading, Journal of Business 61, 1-24.
Shleifer, Andrei and Robert Vishny, 1997, The limits of Arbitrage, The Journal of Finance 52, 35-55.
Sloan, Richard, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings, The Accounting Review 71, 289-315.
Stattman, Dennis, 1980, Book values and stock returns, The Chicago MBA: a journal of Selected Papers 4, 25-45.
Wurgler, Jeffrey and Ekaterina Zhuravskaya, 2002, Does arbitrage flatten demand curves for stocks, Journal of Business 75, 583-608.