6 Pages Posted: 21 Jul 2009
Date Written: July 19, 2009
The development of the Financial Crisis throughout 2008 and into 2009 has caused many fund managers to question their Growth based investment models. Interest appears to again be rekindled in the traditional Value based models, where investment decisions are based on sound company fundamentals rather than abstract future growth expectations. This paper reviews a specific set of value based filters for selecting undervalued stocks which appeared in a series of papers published soon after the 2000 Dot-Com debacle. This paper documents the performance of these filters in the Australian stockmarket.
Keywords: fundamental analysis
Suggested Citation: Suggested Citation
Vanstone, Bruce James and Hahn, Tobias and Finnie, Gavin, Returns to Selecting Value Stocks in Australia – The Aby Filters (July 19, 2009). 22nd Australasian Finance and Banking Conference 2009. Available at SSRN: https://ssrn.com/abstract=1436207 or http://dx.doi.org/10.2139/ssrn.1436207