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ArticleResurrecting the Value Premium

David C. Blitz2020

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Resurrecting the Value Premium

David C. Blitz · Matthias Xaver Hanauer

28 citations·0/0 files stored·The Journal of Portfolio Management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 2014A five-factor asset pricing model 1996Multifactor Explanations of Asset Pricing Anomalies 1994Contrarian Investment, Extrapolation, and Risk 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS n.d.Editor's Choice Digesting Anomalies: An Investment Approach 1985Persuasive evidence of market inefficiency

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2018The Cross-Section of Emerging Market Stock Returnsarticle · 11 shared references 2020The Fundamental-to-Market Ratio and the Value Premium Declinearticle · 11 shared references 2020A Comparison of Global Factor Modelspreprint · 11 shared references 2018The History of the Cross-Section of Stock Returnsarticle · 10 shared references 2017Dissecting Characteristics Nonparametricallyreport · 10 shared references 2019Reports of Value’s Death May Be Greatly Exaggeratedarticle · 10 shared references

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Year2020

Typearticle

Published2020-01-01

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3705218

openalex_workW3091984003

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