Abstract

https://ssrn.com/abstract=2700691
 


 



Equity Trading: The Trouble with Value


Jamil Baz


Man Group

Nicolas Le Roux


Man Group

December 16, 2015


Abstract:     
Recently, liquidity-driven economic policies have mounted a challenge to time-series value investing. In this paper, we examine the risk-return performance of simple value indicators.We find that: 1) even though long term equity returns are partially predictable, directional value investing delivers mediocre results; 2) the "Central Bank put" is a fly in the ointment for value investors; 3) relative value has broadly outperformed absolute value. Lastly, we conjecture that the poor performance of directional value investing hides substantial overvaluations in U.S. equities.

Number of Pages in PDF File: 16

Keywords: Value, Equity, Valuation, Cross-Section, Time-Series, Fed Policy, Overvaluation, Dividend Yield, PE, Tobin's Q


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Date posted: December 9, 2015 ; Last revised: December 17, 2015

Suggested Citation

Baz, Jamil and Le Roux, Nicolas, Equity Trading: The Trouble with Value (December 16, 2015). Available at SSRN: https://ssrn.com/abstract=2700691

Contact Information

Jamil Baz
Man Group ( email )
Sugar Quay
Lower Thames Street
London, EC3R 6DU
United Kingdom
Nicolas Le Roux (Contact Author)
Man Group ( email )
Sugar Quay
Lower Thames Street
London, EC3R 6DU
United Kingdom
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