Is (Systematic) Value Investing Dead?

57 Pages Posted: 9 Apr 2020

See all articles by Ronen Israel

Ronen Israel

AQR Capital Management, LLC

Kristoffer Laursen

AQR Capital Management, LLC

Scott A. Richardson

AQR Capital Management, LLC; London Business School

Date Written: March 14, 2020

Abstract

Value investing is the age-old investment strategy that involves buying securities that appear cheap relative to some fundamental anchor. For equity investors that anchor is typically a measure of intrinsic value linked to financial statement variables. Recently, there has been much written about the death of value investing. While undoubtedly many systematic approaches to value investing have suffered recently, we find the suggestion that value investing is dead to be premature. Both from a theoretical and empirical perspective, expectations of fundamental information have been and continue to be an important driver of security returns. We also address a series of critiques levelled at value investing and find them generally lacking in substance.

Keywords: value investing, fundamental analysis, valuation

JEL Classification: G12, G14, M41

Suggested Citation

Israel, Ronen and Laursen, Kristoffer and Richardson, Scott Anthony, Is (Systematic) Value Investing Dead? (March 14, 2020). Available at SSRN: https://ssrn.com/abstract=3554267 or http://dx.doi.org/10.2139/ssrn.3554267

Ronen Israel

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Kristoffer Laursen

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Scott Anthony Richardson (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

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