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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
The Devil in HML's Details: Factors, Monthly
June 21, 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: 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.
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.
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.
Perspective
Going Deep on Contrarian Factor Timing
December 4, 2017
We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.
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.
Journal Article
The Devil in HML's Details
June 1, 2013
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.