Returns to Selecting Value Stocks in Australia – The Aby Filters

6 Pages Posted: 21 Jul 2009  

Bruce James Vanstone

Bond University

Tobias Hahn

Bond University

Gavin Finnie

Bond University

Date Written: July 19, 2009

Abstract

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

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

Bruce James Vanstone (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

Gavin Finnie

Bond University ( email )

Gold Coast, QLD 4229
Australia

Paper statistics

Downloads
163
Rank
152,133
Abstract Views
778