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Time and the payoff to value investing
4 references·1 citing·24 second hop
Time and the payoff to value investing (2003)Time and the payoff to value investingThe Interaction of Value and Momentum Strategies (1997)The Interaction of Value and …The relationship between excess returns, firm size and earnings on the Johannesburg Stock Exchange (1991)The relationship between exce…Premium to book value may be a contrary indicator (1986)Premium to book value may be …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence (2011)Enhancement of value portfoli…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Johannesburg Stock Exchange as an Efficient Market: A Review (1995)Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE (1999)Does survivorship bias really matter? An empirical investigation into its effects on the mean reversion of share returns on the JSE (1984–2007) (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Simple Forecasts and Paradigm Shifts (2007)Heterogeneous Beliefs and Momentum Profits (2009)What explains the dynamics of 100 anomalies? (2015)A model of investor sentiment /Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Risk measurement when shares are subject to infrequent trading (1979)The relationship between earnings' yield, market value and return for NYSE common stocks (1983)Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange (2001)Profitability of directors' share dealings on the JSE (2003)Do the value, size and January effects exist on the JSE? (2011)
this work references cited by second hop

References

  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1997The Interaction of Value and Momentum Strategies272 cited
  • 1991The relationship between excess returns, firm size and earnings on the Johannesburg Stock Exchange38 cited
  • 1986Premium to book value may be a contrary indicator26 cited

Cited by

  • 2011Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence21 cited

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