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Journal Article
Style Timing: Value vs. Growth
January 1, 2000
A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.
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.
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.
Journal Article
Value and Momentum Everywhere
June 1, 2013
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.
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
Is (Systematic) Value Investing Dead?
March 14, 2020
Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
February 29, 2024
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.
Data Set
Value and Momentum Everywhere: Factors, Monthly
February 29, 2024
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.
Perspective
Is (Systematic) Value Investing Dead?
May 8, 2020
When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.
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.