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Fact, Fiction, and Value Investing

31 Pages Posted: 5 Jul 2017 Last revised: 7 Jul 2017

Clifford S. Asness

AQR Capital Management, LLC

Andrea Frazzini

AQR Capital Management, LLC

Ronen Israel

AQR Capital Management, LLC

Tobias J. Moskowitz

Yale University, Yale SOM; AQR Capital; National Bureau of Economic Research (NBER)

Date Written: June 1, 2015

Abstract

Value investing has been a part of the investment lexicon for at least the better part of a century. In particular the diversified systematic “value factor” or “value effect” has been studied extensively since at least the 1980s. Yet, there are still many areas of confusion about value investing. In this article we aim to clarify many of these matters, focusing in particular on the diversified systematic value strategy, but also exploring how this strategy relates to its more concentrated implementation. We highlight many points about value investing and attempt to prove or disprove each of them, referencing an extensive academic literature and performing simple tests based on easily accessible, industry-standard public data.

Keywords: Value, momentum, market efficiency, behavioral finance

JEL Classification: G11, G12

Suggested Citation

Asness, Clifford S. and Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J., Fact, Fiction, and Value Investing (June 1, 2015). Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1. Available at SSRN: https://ssrn.com/abstract=2595747 or http://dx.doi.org/10.2139/ssrn.2595747

Cliff Asness

AQR Capital Management, LLC ( email )

Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3601 (Phone)
203-742-3101 (Fax)

HOME PAGE: http://www.aqrcapital.com

Andrea Frazzini

AQR Capital Management, LLC ( email )

Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3894 (Phone)
203-742-3394 (Fax)

HOME PAGE: http://www.econ.yale.edu/~af227/

Ronen Israel

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Tobias Moskowitz (Contact Author)

Yale University, Yale SOM ( email )

New Haven, CT 06520
United States

HOME PAGE: http://som.yale.edu/tobias-j-moskowitz

AQR Capital ( email )

Greenwich, CT
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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