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Data Set
The Devil in HML's Details: Factors, Daily
May 8, 2018
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Data Set
Value and Momentum Everywhere: Original Paper Data
February 27, 2018
This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
Data Set
Value and Momentum Everywhere: Factors, Monthly
June 22, 2018
We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
June 21, 2018
We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
Journal Article
Value Investing in Credit Markets
September 3, 2012
In this paper we outline an approach to make use of accounting and market based information to forecast corporate default.
Journal Article
The Interaction of Value and Momentum Strategies
March 1, 1997
Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.
Bibliography
Value Investing Bibliography
June 4, 2014
We have compiled a list of books, journal articles and working papers that were helpful in developing our research around value strategies.
Book
Benjamin Graham: Building a Profession
March 23, 2010
Benjamin Graham is widely known as the father of value investing and mentor to legendary investor Warren Buffett. This collection of Graham's writings and expert interviews offers valuable perspectives on investing and financial markets.
Journal Article
Fact, Fiction and Value Investing
November 5, 2015
Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.
White Paper
A New Core Equity Paradigm
March 1, 2013
Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.