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verified publisher icon JustinMShea

Vignette: Value-oriented equity selection: Is (Systematic) Value Investing Dead?

Open JustinMShea opened this issue 5 years ago • 0 comments

Data

Scattered about the AQR data page of their website. Go through, pull it together.

Background:

Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market (S. Basu, 1977)

The Cross-Section of Expected Stock Returns (Fama, French, 1992)

Expected Returns, Chapter 12

Engle, Chapter 10

Value factors to compare with HML

Is (Systematic) Value Investing Dead?

JustinMShea avatar Jun 18 '20 14:06 JustinMShea