Josef Lakonishok mfl:
Contrarian Investment, Extrapolation and Risk
"In spite of evidence that growth is mean reverting, naive investors continue to value highly those companies with above average recent trends. "Författarna gör en empirisk undersökning av Value VS Glamour (dvs låg- VS högvärderade aktier). De använder fem olika sätt att definiera värdering:
- Löpande kassaflöde
Man kan ju tycka att fem år är en kort period och författaren svarar på denna kritik:
"Having reproduced the major calculations, I have no doubt that strategies based on the value measures have outperformed those based on glamour for most of the last 25 years."
Rafael La Porta mfl:
Good News for Value Stocks: further evidence on market efficiency
"investors tend to extrapolate past growth rates too far into the future [...] a significant portion of the return difference between value and glamour stocks is attributable to earnings surprises that are systematically more positive for value stocks [...] Unsophisticated investors may equate a good company with a good investment irrespective of price.
[...] sophisticated institutional investors may graviate toward well-known, glamour stocks because these stocks are much easier to justify to clients and superiors as prudent investments. [...] institutional investors have historically overweighted glamour stocks in their portfolios. This may be the simplest explanation for the aggreage underperformance of money managers relative to the S&P500 over the past 25-30 years.
[...] Unlike differences in growth rates, differences in levels of profitability across firms and industries are relatively long lived."