Searching for Inner Peace with Value Factors

Risk & Reward, 2020, 4th issue, pp. 14-19

6 Pages Posted: 6 Feb 2021

Date Written: September 10, 2020


Value factors have always been an essential part of quantitative investing processes. We show that the deterioration in performance of value stocks, as defined by high book-to-price (B/P) ratios, comes as no surprise given their relatively poor fundamentals as well as slower mean reversion of profitability. The opposite has been observed for low B/P “glamour” stocks. Value defined by high earnings yield (E/P) has also suffered from deteriorating performance despite being fundamentally different from value characterized by a high B/P.

Keywords: value investing, profitability, mean reversion, valuation, growth

JEL Classification: G11, G12, G14, M41

Suggested Citation

Shea, Yifei and Radatz, Erhard, Searching for Inner Peace with Value Factors (September 10, 2020). Risk & Reward, 2020, 4th issue, pp. 14-19, Available at SSRN:

Yifei Shea (Contact Author)


100 Federal St
28th floor
Boston, MA MA 02110
United States

Erhard Radatz

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322

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