Abstract

https://ssrn.com/abstract=2595747
 
 

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Fact, Fiction, and Value Investing


Clifford S. Asness


AQR Capital Management, LLC

Andrea Frazzini


AQR Capital Management, LLC

Ronen Israel


AQR Capital Management, LLC

Tobias J. Moskowitz


AQR Capital; University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

June 2015

Forthcoming, Journal of Portfolio Management, Fall 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.

Number of Pages in PDF File: 31

Keywords: Value, momentum, market efficiency, behavioral finance

JEL Classification: G11, G12


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Date posted: April 19, 2015 ; Last revised: July 21, 2015

Suggested Citation

Asness, Clifford S. and Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J., Fact, Fiction, and Value Investing (June 2015). Forthcoming, Journal of Portfolio Management, Fall 2015. Available at SSRN: https://ssrn.com/abstract=2595747 or http://dx.doi.org/10.2139/ssrn.2595747

Contact Information

Cliff S. 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 J. Moskowitz (Contact Author)
AQR Capital ( email )
Greenwich, CT
United States

University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-2757 (Phone)
773-702-0458 (Fax)

Chicago Booth School of Business Logo

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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