Deep Value Investing and Unexplained Returns
University of St. Thomas (Minnesota) - University of St. Thomas, Minneapolis
University of St. Thomas (Minnesota) - Opus College of Business
Tobias Eric Carlisle
Eyquem Investment Management LLC
September 16, 2011
Midwest Finance Association 2012 Annual Meetings Paper
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, G12working papers series
Date posted: October 2, 2011 ; Last revised: January 5, 2012
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