Posts in Value Investing Research

Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

February 22, 2011

Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.

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Backtesting Ben Graham

April 17, 2011

Charles Mizrahi, over at, suggested we backtest a simple Ben Graham strategy mentioned in a 1976 article he dug up

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The Ultimate Short Book.

May 17, 2011

Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper  can be found here. Live implementation data

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Shorting the Magic Formula

October 19, 2011

I just got back from the Value Investing Congress– The event was exceptional and very thought-provoking. While Einhorn’s annihilation of

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Are stock pickers better than Computers?

March 24, 2012

Empiritrage has a detailed research piece on the question of whether or not quantitative value can beat fundamental stock-pickers.

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