The best recent research on equity value and the value factor
One of the most popular approaches to generating alpha in equity portfolios is to follow a value strategy - underweighting shares in companies perceived as "dear" and overweighting those which are seen as "cheap". The "value factor" (although constructed differently by different firms) is one of the key factors deployed by proponents of a "factor investing" style of equity investing.
In the list below, we highlight some of the best, recent papers, which examine the efficacy of value investing and how it might best be implemented.
Portfolio managers from Oldfield Partners discuss specific contrarian value opportunities that have arisen within global equity markets, as well as valuation traps and QE-driven style drifts by equity investors.
In a manner that echoes back to Graham and Dodd, price-to-earnings, price-to-sales, and price-to-book-value ratios are used to illustrate the process of uncovering value. These ratios are then incorporated into the construction of the S&P 500 Enhanced Value Index, and the relative performance of this index is analyzed.
FTSE Russell looks at the value factor in fixed income, using an OAS framework to designate undervalued and over-valued securities. This study focuses upon the US investment grade corporate bond market.
This paper by Axioma examines the impact of increasing levels of constraints on the risk profile and performance of a Global Value portfolio.
Alpha Architect dives into an analysis of the value factor, covering an overview of recent value premia research, an explanation of value as it relates to E/P, B/P, earnings growth, and behavioral finance.
GMO examines the historical battle between growth and value, as well as the drivers behind value's recent underperformance and present-day tailwinds for value investors.
Evidence from the international equity, currency, and bond markets point towards the existence of a global value premium, but successful implementation of such a global value strategy depends on a well-structured design.
Alternative risk premia portfolios are becoming increasingly popular as many investors look to build returns and diversification. In this paper, the authors focus their discussion on Carry and Value in particular.
AQR defines deep value opportunities, then describes a particular approach that addresses some of the typical challenges encountered when attempting to deploy a deep value strategy.
In this paper, the value and momentum factors are examined across multiple markets and multiple asset classes, exhibiting a negative correlation. The authors attribute a portion of this relationship to global funding liquidity risk.