Fact, Fiction, and Value Investing
31 Pages Posted: 5 Jul 2017 Last revised: 7 Jul 2017
Date Written: June 1, 2015
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: Suggested Citation