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Deep Value Investing and Unexplained ReturnsJeffrey OxmanUniversity of St. Thomas (Minnesota) - University of St. Thomas, Minneapolis Sunil MohantyUniversity of St. Thomas (Minnesota) - Opus College of Business Tobias Eric CarlisleEyquem Investment Management LLC September 16, 2011 Midwest Finance Association 2012 Annual Meetings Paper Abstract: The strategy of buying and holding “net nets” has been advocated by deep value investors for decades, but systematic studies of the returns to such a strategy are few. We detail the returns generated from a net nets strategy implemented from 1984 - 2008, and then attempt to explain the excess returns (alpha) generated by the net nets strategy. We find that monthly returns amount to 2.55%, and excess returns using a simple market model amount to 1.66%. After controlling for a variety of risk factors and firm characteristics, and imposing several filters, we find a remaining significant excess return.
Number of Pages in PDF File: 41 Keywords: deep value, net nets, excess returns JEL Classification: G11, G12 working papers seriesDate posted: October 2, 2011 ; Last revised: January 5, 2012Suggested CitationContact Information
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