Gray, Wesley and Kern, Andrew (2008): Fundamental Value Investors: Characteristics and Performance.
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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|
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