Equity Dispersion: Value Stocks Yet to Be Rewarded

19 Pages Posted: 10 Aug 2011

Date Written: January 1, 2011

Abstract

The correlation of returns for various equity asset classes has been high. In addition, the range or "dispersion" of returns across asset classes - and across sectors within those asset classes - has been low. These factors have made it difficult for active managers to outperform. But dispersion of valuations remains relatively wide by historical standards, creating a fertile environment for value-based stock pickers. When return dispersion broadens or returns to more normal levels, these undervalued securities may outperform the broader market.

Keywords: Brandes, Brandes institute, value investing, equity asset classes

JEL Classification: G10, G11, G14, G12

Suggested Citation

Institute, Brandes, Equity Dispersion: Value Stocks Yet to Be Rewarded (January 1, 2011). Brandes Institute Research Paper No. 2011-01. Available at SSRN: https://ssrn.com/abstract=1905622 or http://dx.doi.org/10.2139/ssrn.1905622

Brandes Institute (Contact Author)

Brandes Investment Partners ( email )

11988 El Camino Real, Suite 500
P.O. Box 919048
San Diego, CA 92191-9048
United States

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