This page contains hundreds of documents on Value investing. Some are 50 years old, some are brand new. I called the page timeless reading because I believe regardless of the publication date all the information is very relevant today. There are thousands of hours of valuable reading material on this page. Everything on the page is free so enjoy!
We update this site frequently both when We find old documents, and when new documents are published. So make sure to come back frequently.
Several Selected Publications: (see very bottom of page for hundreds of more research papers on value investing)
Warren Buffett, one of the world’s most famous and successful investors and CEOs, has granted permission to author/entrepreneur Mark Gavagan to publish “Gems from Warren Buffett – Wit and Wisdom from 34 Years of Letters to Shareholders” Gems From Buffett
The Brandes Institute provides some very well written and value oriented research from a partner institute for the well-established value investor. Click here. This site is updated very frequently, so make sure to check it out on a regular basis.
SUPER INVESTORS OF GRAHAM-AND-DODDSVILLE Famous Speech by Warren Buffett on Value Investing. I would call this the Gettysburg Address of Value Investing. This is a must read for any value investor.
The Wisdom of Great Investors The mini-book (FREE!) put together by Davis Funds offers the wisdom of many of history’s most successful investment minds, including, but not limited to; Warren Buffett, Chairman of Berkshire Hathaway and one of the most successful investors in history; Benjamin Graham, recognized as the “Father of Value Investing” and one of the most influential figures in the investment industry; Peter Lynch, portfolio manager and author, and Shelby Cullom Davis, a legendary investor who turned a $100,000 investment in stocks in 1947 into over $800 million at the time of his death in 1994.1
What Has Worked in Investing. Excellent booklet put together by Tweedy Browne LLC. Another must read for value investors.
What Do Financial Economists Have to Say About “Value”? via Columbia University. In about 2 pages this article DESTROYS the efficient market theory.
Value Investing: The Use of Historical. Financial Statement Information to Separate Winners from Losers Excellent research paper by Joseph Piotroski regarding the out performance of value stocks over time.
Studying different Systematic Value Investing Strategies on the Eurozone stock market. A study of Piotroski’s formula on European equities
Tweedy Browne. “What has Worked in Investing: Studies of Investment Approaches and Characteristics Associated with Exceptional Returns” (1992).
PDF download (124 KB). A must read 50 page free book that shows how value outperforms internationally and over almost every time period.
Dubinsky, Andrew. “Value Investing Retrospective” Heilbrunn Center for Graham and Dodd Investing Research Project (2006).
PDF download (1326 KB)
Lakonishok, J., A. Shleifer and R. Vishny. “Contrarian investment, extrapolation and risk” Journal of Finance 49 (1994): 1541–1578.
PDF download (1176 KB)
La Porta, R., J. Lakonishok, A. Shleifer and R. Vishny. “Good news for value stocks: Further evidence on market efficiency” Journal of Finance52 (1997): 859–874.
PDF download (509 KB)
Awesome resource page from Aswath Damodaran Great Professor of Finance at NYU, who teaches value investing.
Graham and Doddsville Newsletter Archives
The Outstanding Investor Digest at www.oid.com.
A journal of interviews with famous value investors
Value Investor Insight at www.valueinvestorinsight.com.
VII distributes monthly issues and online bonus content each week. Each monthly issue contains two feature pieces on major value investors and articles on value investing today.
Richard Ivey School of Business
Graham-Newman Partnership Letters
1946 Letter to Shareholders
1947 Letter to Shareholders
1948 Letter to Shareholders
1949 Letter to Shareholders
1950 Letter to Shareholders
1951 Letter to Shareholders
1952 Letter to Shareholders
1953 Letter to Shareholders
1954 Letter to Shareholders
1955 Letter to Shareholders
1956 Letter to Shareholders
1957 Letter to Shareholders
1958 Letter to Shareholders
Warren Buffett Shareholder Letters
Buffett Partnership Letters
02.1959 Letter to Partners
02.1960 Letter to Partners
01.1961 Letter to Partners
07.1961 Letter to Partners
01.1962 Letter to Partners
07.1962 Letter to Partners
12.1962 Letter to Partners
01.1963 Letter to Partners
07.1963 Letter to Partners
11.1963 Letter to Partners
12.1963 Letter to Partners
01.1964 Letter to Partners
07.1964 Letter to Partners
01.1965 Letter to Partners
07.1965 Letter to Partners
11.1965 Letter to Partners
01.1966 Letter to Partners
07.1966 Letter to Partners
11.1966 Letter to Partners
01.1967 Letter to Partners
07.1967 Letter to Partners
10.1967 Letter to Partners
11.1967 Letter to Partners
01.1968 Letter to Partners
07.1968 Letter to Partners
11.1968 Letter to Partners
01.1969 Letter to Partners
05.1969 Letter to Partners
Charles T. Munger Letters (Wesco)
Full archive of 1983-2009 letters Scribd here
Leucadia Shareholder Letters:
2004 posted April 25, 2005
2005 posted April 18, 2006
2006 posted April 17, 2007
2007 posted April 16, 2008
2008 posted April 15, 2009
2009 posted April 9, 2010
2010 posted April 13, 2011
Walter J. Schloss – Lectures & Articles
“Sixty-Five Years on Wall Street” (Grant’s Fall Investor Conference)
2/11/2008: “Experience” (Forbes)
4/17/2003: “Profiles in Investing: Walter and Edwin Schloss” (Columbia Business School’s ‘The Bottom Line’)
11/7/1993: “Columbia Business School Upper Level Seminar in Value Investing” (Mr. Schloss’ notes)
2/25/1985: “The Right Stuff – Why Walter Schloss is Such A Great Investor” (Barron’s)
Reports and Shareholder Letters From Top Value Funds:
Davis Funds – Shelby Davis
Hedge fund industry (PPT), Glocap presentation
Implications of the Growth of Hedge Funds (PDF), SEC staff report
Hedge Funds: What do we know? (PDF), Journal of Applied Corporate Finance
More research reports on value investing
Broad is the New Narrow: How Passive Investing Creates Concentrated Portfolios (April 2011)
Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Defensive investors, as Benjamin Graham noted, would be best served owning a diversified list of leading companies. Yet it’s the presumption of diversification that can lead investors astray. Many passive investments are, in fact, extremely concentrated owing to the disproportionate size of its largest holdings and blindly weighting by market capitalization. With emerging markets now the largest region of the equity markets by number of investable securities, they offer opportunities for investors willing and able to invest actively outside of the largest securities.
Equity Dispersion: Value Stocks Yet to be Rewarded (January 2011)
The correlation of returns for various equity asset classes has been high. In addition, the range or “dispersion” of returns across asset classes – and across sectors within those asset classes – has been low. These factors have made it difficult for active managers to outperform. But dispersion of valuations remains relatively wide by historical standards, creating a fertile environment for value-based stock pickers. When return dispersion broadens or returns to more normal levels, these undervalued securities may outperform the broader market.
New Insights into the Case for Emerging Market Equities (December 2010)
While high growth economies in emerging markets tend to attract attention, recent research concludes that valuations were the key driver in historical equity performance in developing markets. In this updated paper, we share academic research that finds no discernable relationship between GDP growth and subsequent equity performance. We also review research demonstrating how emerging market stocks with the lowest valuations have tended to outperform those with higher valuations.
Value vs. Glamour: A Global Phenomenon (December 2010)
In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide margins. The Brandes Institute subsequently updated their work and extended the scope of the initial study to include non-U.S. markets to determine if the value premium was consistent across global markets. Now updated through June 2010, the study includes both the glamour-driven markets of the late 1990s and early 2000s, as well as the more recent worldwide economic downturn.
Dividend Yield and the Implications of Cash Sitting on Balance Sheets (November 2010)
Robust cash flow yields for large-cap stocks have reached unprecedented territory in 2010 in relation to both investment-grade and junk-bond yields. In this article, Brandes Institute Advisory Board Member Bill Raver examines how these cash flow yields suggest stocks offer compelling potential for capital return and appreciation for shareholders. Mr. Raver also examines the record cash levels sitting on the balance sheets of public companies and the impact an increase in dividends and share buyback activity may have on performance and liability obligations going forward.
Risk Management and its Application in the Portfolio Management Process at the Ontario Teachers’ Pension Plan (September 2010)
Since the financial crisis that started in late 2007 and lasted throughout 2008 and early 2009, many have criticized quantitative risk management systems. Zev Frishman, Vice-President of Global Equity Strategies with the Ontario Teachers’ Pension Plan (“OTPP”) and Brandes Institute Advisory Board member, suggests it is not the concept and principle that are at fault but rather the reliance on poor systems or poor understanding and application of quantitative systems. In this paper, Mr. Frishman shares how the OTPP uses a unique in-house quantitative system to help manage risk.
The Role of Expectations in Value and Glamour Stock Returns – Excerpt (August 2010)
When value and glamour stocks missed earnings expectation targets, what happened to their stock prices over the following year? While prices for glamour stocks fell as expected, prices for value stocks went up – even when business fundamentals deteriorated, based on results revealed in this Brandes Institute study. These findings counter assertions published by select scholars and provide fresh evidence explaining why value investing historically has been a successful long-term strategy.
This Time is Different: Behavioural Aspects of Financial Crises (May 2010)
In “This Time is Different: Behavioural Aspects of Financial Crises,” Brandes Institute Advisory Board member Bruce Grantier reviews the book This Time is Different: Eight Centuries of Financial Folly. With this review, Grantier provides a reminder to investors of the frequency and nature of financial crises and the importance of adhering to enduring investment principles.
This article is part of an ongoing series presented by the Brandes Institute addressing the question, “What is Risk?”
Back to the Future: Conventional Investing in a Complex World (January 2010)
In the wake of market volatility, many investors may feel a desire to change their approach and be more “nimble” or “opportunistic” in their pursuit of investment goals. In this paper, Robert Maynard, Chief Investment Officer for the Public Employee Retirement System of Idaho and Brandes Institute Advisory Board member, cautions investors who are thinking about abandoning traditional investment plans. He advocates policies that are simple, transparent, and focused rather than adopting increasingly popular “alternative” tactics such as illiquid instruments and vehicles, leverage, and complex, opaque investment strategies.
The Risk of Risk Management: A Roundtable Discussion with the Brandes Institute Advisory Board (January 2010)
In the wake of a tumultuous investment period, investors continue to sharpen their focus on risk management. During 2009, the Brandes Institute Advisory Board, comprised of investment professionals working around the globe, shared their thoughts and unique experiences regarding how best to measure and manage risk. In this article, we share excerpts of their conversations that highlight the advantages, inherent limitations, fiduciary implications, and implementation challenges involved with Value at Risk (VaR) and other tools intended to measure and manage risk.
This article is part of an ongoing series presented by the Brandes Institute addressing the question, “What is risk?”
Death, Taxes, and Short-Term Underperformance: Non-U.S. Funds (November 2009)
Death, Taxes, and Short-Term Underperformance: U.S. Funds (November 2009)
Brandes Institute believes short-term underperformance is one the few certainties in life. Now updated through June 2009, these articles illustrate the potential for periods of short-term underperformance. Our research focuses on the performance results of U.S. and non-U.S. mutual funds over the last decade. Observations suggest that underperformance in shorter time periods – such as one quarter, one year, or even three years – is to be expected, even for funds that have performed strongly over the long term. (Note: These articles have been filed with FINRA.)
Value vs. Glamour: A Study of the Indices (October 2009)
The Brandes Institute “Value vs. Glamour” studies demonstrate that value stocks have outperformed growth stocks over the long term. But what about commonly used benchmarks? Over the long term, have value indices outperformed their growth counterparts?
Value vs. Glamour Revisited: Historical P/B Ratio Disparities and Subsequent Value Stock Outperformance (September 2009)
Value vs. Glamour Revisited Non-U.S. Handout (November 2009)
Value vs. Glamour Revisited U.S. Handout (June 2009)
The Brandes Institute recently revisited its Value vs. Glamour research, focusing on the relationship between the valuation difference in price-to-book ratios, and subsequent relative performance. The Institute discovered that, historically, when the difference in P/B ratios between value and glamour stocks was at or near its peak, value stocks delivered meaningful outperformance over the subsequent 5-year period. This article documents the recent expansion in the gap between median P/B ratios for value and glamour stocks and examines the implications for investors.
Corporate Credit: An Opportunity on a Global Scale (July 2009)
The meltdown in liquidity in the corporate debt market in the second half of 2008, the related widening in spreads, and concerns over use (and misuse) of credit default swaps may have created both cyclical and secular opportunities for fixed income investors.
Benjamin Graham and Risk (April 2009)
In “Benjamin Graham and Risk”, Brandes Institute Advisory Board member Bruce Grantier examines the similarities and differences between the modern portfolio theory concept of risk and the writings of Benjamin Graham and other prominent value investors.
This article is part of an ongoing series presented by the Brandes Institute addressing the question, “What is risk?”
Is U.S. Small Cap a Viable Alternative to U.S. Private Equity?(April 2009)
A number of academic papers have indicated that returns for private equity funds, on average, have not outperformed public equities in the United States. This contradicts the risk premium one might expect with private equity, given the liquidity, transparency limitations, and additional origination costs associated with private equity investments.
In this paper, Brandes Institute Advisory Board member Bruce Grantier examines the academic research and historical performance (both on an asset class and manager value-added basis) to evaluate small cap as an alternative investment to private equity.
Risk Evaluation within Asset Management: A Practical Perspective (March 2009)
Drawing on his 20 years of experience in the investment industry, Brandes Institute Advisory Board member Peter Branner cites developments that may have contributed to the 2008 financial crisis – and how these “risks” may be better managed. Among the seven aspects of risk he addresses are mark-to-market accounting, an emphasis on relative performance, and short-term underperformance.
Branner’s article, “Risk Evaluation Within Asset Management: A Practical Perspective,” is one in a series of Brandes Institute pieces that seeks to answer the question, “What is risk?”
Results from Investors’ Survey Regarding Currency (February 2009)
The Brandes Institute conducted an online survey of institutional investors worldwide the week of December 8-12, 2008. In this survey, clients responded to questions on the use of currency overlay programs, the impact of currency on plan assets, and the role of the carry trade in currency markets. The survey results are anticipated to be published in an upcoming issue of Pensions & Investments. The attached summary shares key findings, including areas of material difference between the responses of U.S. and non-U.S. investors.
Death, Taxes, and Short-Term Underperformance: Global Equity Mutual Funds (December 2008)
While there may be few certainties in life, the Brandes Institute believes short-term underperformance is one of them. In this article, we study the performance of a wide range of global equity mutual funds over the last decade. Our observations indicate that underperformance in shorter periods – such as one quarter, one year, or even three years – is to be expected, even for portfolios that may have performed strongly over the long term. (This article has been filed with FINRA.)
Behavioural Investing: A Practitioner’s Guide to Applying Behavioural Finance (November 2008)
Investors typically strive to be logical and unbiased decision makers. However, many investors often are subject to innate tendencies that can contribute to less-than-rational decisions. In this light, one would do well to first understand common behavioural tendencies and misperceptions.
In this article, Brandes Institute Advisory Board member Bruce Grantier reviews James Montier’s book Behavioural Investing: A Practitioner’s Guide to Applying Behavioural Finance. The book addresses timely topics such as group decision making, modern finance, and the nature of bubbles. Grantier finds that Montier’s book effectively and convincingly communicates how the brain is hardwired to like short-term gratification (often leading to quick and easy decisions), and to dislike social-exclusion behaviour (often leading to herd-like decisions).
Has the Carry Trade Worked In World Bond Markets? (October 2008)
The Brandes Institute paper Carrying On? (published in 2006) documented a currency market inefficiency that had provided the potential to improve investment returns by owning higher interest-paying currencies. In Has the Carry Trade Worked In World Bond Markets?, we test whether this anomaly also was present in the global fixed income markets, using 10-year maturity government bonds. For the full study period (1973-2007) there was no clear pattern. However, when the data is split between the same two periods we used for the currency analysis, a different perspective emerges. For the 1973-1986 period, the higher bond returns were obtained in the low-yielding markets, while the reverse is evident between 1987-2007, with the “bond carry trade” having been more successful.
Value vs. Glamour: A Global Phenomenon (September 2008)
In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to that of glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide margins. However, their study did not include the glamour-driven markets of the late 1990s and early 2000s. What effect might this period have on their conclusions? To find out, the Brandes Institute updated their Value vs. Glamour research, now through June 2008, to examine the comparative performance over a 40-year period. In addition, we also extended the scope of the initial study to include non-U.S. markets, seeking to determine if the value premium has been evident worldwide.
Global Small-Cap Stocks: A Life Cycle Perspective (September 2008)
In previous research, Global Small-Cap Stocks: Reexamined and Redefined, the Brandes Institute found divergent construction methodologies among global small-cap index providers and introduced a custom series of country and regional small-cap universes to explore detailed historical fundamental data. In the second phase of this research, Global Small-Cap Stocks: A Life Cycle Perspective, we use “life cycle” analysis to sort companies into different phases of development and challenge the notion that international small caps are similar to domestic small caps. In this research, we make a number of interesting discoveries on why international small caps are structurally different from domestic small caps, or even international large-cap stocks.
Structured Products: Asset Backed Securities – Opportunities Resulting from Systematic Mispricing (September 2008)
Asset-backed securities have attracted attention in the recent months amid the uncertainty surrounding the mortgage sector and securitized debt. This paper examines the “boom/bust” cycle of subprime mortgage pools, and demonstrates how long standing perceptions of rating agencies and their ratings could potentially be either a risk or an opportunity.
Value Investing: Has It Worked In Emerging Markets? (August 2008)
The Brandes Institute’s Value vs. Glamour research has demonstrated the persistent outperformance of value stocks over glamour stocks in developed markets worldwide over long time periods. Investors may wonder if the value premium is also evident in developing countries. In this article, we investigate whether “glamorous” companies in developing countries have outperformed their “value” counterparts over the last few years. We also reveal whether value investing has worked in emerging markets over the long term.
Value vs. Glamour: Bond Performance (July 2008)
Previous research by the Brandes Institute has shown the historical long-term performance advantage of value stocks over glamour stocks. What about corporate bonds? Here, we show that bonds issued by value companies have provided greater appreciation than those issued by glamour companies.
The Investor’s Paradox: Making Intelligent Decisions Amid More Choices (June 2008)
Having more choices is always a benefit – or is it? In the book The Paradox of Choice (New York: HarperCollins, 2004), Professor Barry Schwartz convincingly argues that the process of making constant decisions amidst a sea of overwhelming choice – be it health care options, televisions, or investment products – can and often does result in behavioral biases, stress, and poor decisions. In this article, we share insights from The Paradox of Choice and discuss the implications for investors.
Value vs. Glamour: The Challenge of Expectations (February 2008)
In “Value vs. Glamour: The Challenge of Expectations,” the Brandes Institute examines the historical performance of individual glamour and value stocks. We believe this performance data demonstrates why investors should be cognizant of the relationship between stock price and value. The specific stock references remind investors that companies with soaring growth rates and wide popularity may not always make great investments.
Liability-Driven Investing and Equity Duration (January 2008)
Increasing interest in liability-driven investing (LDI) in the pension community has prompted many plan sponsors to seek longer-duration investments. Historically, empirical evidence has guided plan structures toward long-duration bonds as an appropriate liability-matching instrument, citing relatively short durations for U.S. equities. However, LDI depends upon accurately measuring duration for assets – including equities. In this article, the Brandes Institute reexamines assumptions used to calculate equity duration and poses key questions for investors to consider when pursuing LDI.
Fixed Income Falling Knives Phase Two: Examining the Relationship Between Issuer-Specific Bond and Equity Returns (October 2007)
Previous research by the Brandes Institute documented the opportunities available by investing in falling knives (securities whose prices have fallen sharply). Now, in new research on this topic, we investigated the relationship between bond and equity prices in this context. Specifically, we looked for evidence of whether a company’s stock price before a fixed income falling knife event gave any indication of its subsequent bond prices, or vice versa.
A Survey of Corporate Governance Literature Since 1989 (September 2007)
This paper, jointly authored by Professor David Finegold of the Keck Graduate Institute, Professor George Benson of The University of Texas at Arlington, and David Hecht of the Brandes Institute, provides a comprehensive review of academic literature on corporate governance relating board structure and practices to firm financial and stock market performance. We believe this to be the first comprehensive review of research on boards and performance since Zahra and Pearce published “Boards of Directors and Corporate Financial Performance: A Review and Integrative Model” more than 15 years ago. In addition to reviewing more than 90 articles, the research also addresses how the findings may apply to the major governance reforms introduced by the United States Congress and the New York Stock Exchange (NYSE) and Nasdaq in the last few years. This paper was published in the academic journal Corporate Governance: An International Review in September 2007.
The definitive version is available at www.blackwell-synergy.com.
Death, Taxes, and Short-Term Underperformance: Fixed Income Mutual Funds (September 2007)
In our initial Death, Taxes, and Short-Term Underperformance equity studies, we established that short-term underperformance may be unavoidable, even when investing in top-performing equity funds. In this article, we find strikingly similar results among fixed income funds. Given bond investors’ loss-averse predisposition, weathering stretches of short-term underperformance may have proved challenging, even when investing in fixed income funds that delivered favorable long-term performance. (Note: This article has been filed with FINRA)
Value vs. Glamour: A Study of the Indices (September 2007)
As described in our “Value vs. Glamour” studies, value stocks have outperformed growth stocks over the long term. But what about commonly used benchmarks? Over the long term, aren’t returns for growth and value indices about the same?
Stumbling on Value Investing (August 2007)
One of the Brandes Institute’s goals is to expand the investment community’s understanding of market behavior. As such, we are interested in aspects of behavioral finance. Using excerpts and examples from Daniel Gilbert’s book, Stumbling on Happiness (New York: Knopf, 2006), this article seeks to illustrate psychological pitfalls that may prevent long-term success for investors. It also includes seven tips designed to limit the influence of potential behavioral shortcomings and help investors make more informed decisions.
Global Small Cap Stocks: Reexamined and Redefined (July 2007)
The small-cap premium has not been apparent consistently in developed markets outside North America since 1989. Why? In this comprehensive study, the Brandes Institute investigates existing methodologies for defining the global small-cap universe and their relationship to performance. We also introduce regional and country universes designed to analyze constituent-level fundamentals and their influence on historical performance differences.
Our research reveals that North American small caps have shown differentiating fundamental traits vs. their non-North American small-cap peers. But these differences in fundamentals may not fully explain the performance disparity. Perhaps the origins of a company and its point on its “lifecycle” are different across regions. The Brandes Institute intends to examine the performance characteristics of lifecycle groupings among small caps across regions and sectors.
Death, Taxes, and Short-Term Underperformance: Non-U.S. Funds (July 2007)
Death, Taxes, and Short-Term Underperformance (February 2007)
Now updated through 2006, these articles illustrate the potential for periods of short-term underperformance may be one of the few certainties that investors can count on. Our research focuses on the performance results of U.S. and non-U.S. mutual funds over the last decade. Observations suggest that underperformance in shorter time periods – such as one quarter, one year, or even three years – is to be expected, even for funds that have performed strongly over the long term. (Note: These articles have been filed with FINRA.)
Currency Hedging Programs: A Long-Term Perspective (April 2007)
This article addresses currency performance over extended periods of time, and examines the potential implications for investors considering implementation of a currency hedging program. While currency movements have tended to be mean-reverting, there have been extended periods of positive as well as negative impact for investors. By reviewing historical returns, the paper highlights the behavioral considerations that may influence the effectiveness of hedging programs.
Fixed Income Falling Knives (October 2006)
In 2002, the Brandes Institute first explored the Wall Street adage “never catch a falling knife,” which warns against investing in equities whose share prices have dropped sharply in a short period of time. But our study suggested that investors who avoid falling knives altogether may be foregoing significant opportunity. Do the same dynamics exist for bonds? To answer this question, we defined fixed income falling knives using widening spreads among corporate bonds, then tracked their subsequent performance. In this paper, we reveal our findings.
Balance Sheet Cash: Unlocking Value in Japan (October 2006)
Are companies using cash on their balance sheets to enhance shareholder value – especially in Japan, where many firms tend to have higher cash positions than U.S. or European companies? In this study, the Brandes Institute investigates key factors that differentiate the cash-rich companies of Japan from other developed markets. Additionally, the study explores the fundamental characteristics and structural impediments that may have contributed to these firms’ cash surpluses, as well as the potential for future reforms to assist in unlocking the value within these Japanese companies.
Carrying On? (October 2006)
The “carry trade” technique, which involves owning a higher interest rate currency by borrowing in a lower rate currency, has been widely employed by currency traders since the reintroduction of floating exchange rates in the early 1970s. This paper examines whether, and in what conditions, the carry trade’s profits may be overwhelmed by typically infrequent but large losses. We also discuss the behavioral factors that may shed light on this pattern.
Value vs. Glamour: Updated and Expanded (September 2006)
Value vs. Glamour Non-U.S.: The Value Premium in Non-U.S. Markets (December 2006)
In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to that of glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide margins. What effect did the popularity of glamour stocks in the late 1990s and early 2000s have on this conclusion? The Brandes Institute updates our study through June 2006, examining comparative performance over a 38-year period. We also extend the scope of the initial study to include 14 non-U.S. markets in seeking to determine if the value premium was consistent across global markets. (To request earlier versions of our value vs. glamour research, please firstname.lastname@example.org.)
Currency Update: The Long-Term Perspective for Canadian Investors (May 2006)
So far this decade, many Canadian investors’ returns from world markets have been eroded by a strong Canadian dollar. In this article, we examine whether the last few years have been particularly unusual compared to a longer-term history. We also look at issues facing Canadian investors considering hedging their non-domestic currency exposure.
Commission Recapture: Considerations and Reflections (December 2005)
Some institutional investors believe commission recapture programs are a “free lunch.” Others believe the “lunch” is not free; in fact, they believe it may come at a significant cost. In this article, we seek to evaluate commission recapture programs from various perspectives, clarify and raise awareness of key issues surrounding these programs, and stimulate debate regarding their potential benefits and drawbacks.
Benjamin Graham on Fixed Income (December 2005)
Drawing on books written by Benjamin Graham, we explore his thoughts on fixed income securities. Similar to his philosophy on common stocks, Graham’s approach to fixed income is based upon the margin of safety concept.
Value vs. Glamour in Non-U.S. Markets: Recent Value Outperformance, Its Drivers and Considerations (December 2005)
This article addresses factors that contributed to non-U.S. value stocks’ considerable outperformance versus glamour stocks over the past five years, as well as the implications, if any, for investors.
Reviewing The Future for Investors by Bruce J. Grantier, CFA (December 2005)
Brandes Institute Advisory Board member Bruce Grantier (Vice President, Pension Assets at Scotiabank) shares his perspective on Jeremy Siegel’s latest book, The Future for Investors: Why the Tried and True Triumph Over the Bold and the New.
Currencies and Hedging: The Longer-Term Perspective (November 2005)
Currencies and Hedging Appendices (November 2005)
Are currency markets efficient? Does hedging your international equity portfolio reduce your international diversification? Do stop-loss limits help overall hedging returns? In this study, the Institute compiled and analyzed data from the perspective of investors in 23 developed countries over the full 32-year era of floating exchange rates to seek to answer the above questions and others. The findings may challenge many assumptions about currencies and hedging.
New Insights Into the Case for Emerging Market Equities (July 2005)
Emerging markets may attract equity investors who believe they will profit from superior economic growth. But is this true? In this article, we examine London Business School research that reveals no positive relationship between a country’s GDP growth rate and its stock market returns.
Perceptions and Practice in Manager Selection (March 2005)
On the topic of selecting investment managers, we investigate two related questions: (1) does a steady, second-quartile performance ranking every quarter result in first-quartile status over time, and (2) how often do “good” managers experience “bad” stretches of performance? The findings suggest that, theoretically, a steady, second-quartile manager would migrate into the first quartile over time – with an important exception. Also, the tough stretches of performance for “good” managers may create opportunities to exercise “contrarian manager selection.”
The Group Dynamics Q-Sort (December 2004)
Investors and consultants strive to identify investment managers they believe will be “superior” over time. In addition to assessing performance, practitioners may seek to evaluate a manager’s philosophical or cultural “fit.” But how do you quantify culture? How do you gather hard data on soft skills? The Brandes Institute partnered with Prof. Randall Peterson of the London Business School and Watson Wyatt Worldwide to assess business management skills among money managers using a tool, the Q-Sort, typically applied by social scientists. We believe the results shared in this research paper provide insights for interpreting firms’ cultural characteristics and a context within which more informed decisions about managers’ top management teams may be made.
Concentrated Portfolios: An Examination of Their Characteristics and Effectiveness (September 2004)
Until now, concentration in portfolios has not been well defined, yet many investors seem to regard it as a positive, based on the recent pace of introductions of more focused portfolios. With this study, the Institute – working in collaboration with Global Wealth Allocation - seeks to provide a more useful definition of concentration and test whether concentration, on its own, does in fact enhance returns.
Market Efficiency and the National Football League (September 2004)
What does the issue of market efficiency have in common with professional American football? An interesting subset of efficiency research has focused not on stock markets but on the markets surrounding football wagering. In this article, we take a look at some football-related findings that provide fresh insight into the market efficiency debate.
The Past, The Future, and Modern Portfolio Theory (August 2004)
This article, published in the August 2004 issue of PLANSPONSOR magazine, begins with a brief review of the origins of modern portfolio theory (MPT). From there, we examine three MPT ideas that lean heavily on the past as a guide to the future, and we use real market data to put these ideas to the test. Our findings highlight areas where the relationship between the past and the future is shaky – and suggest that investors who expect the future to behave like the past could be in for a surprise.
Examining the Income Component of Long-Term Returns (July 2004)
Significant capital appreciation for equities and fixed income over the last decade seems to dwarf income’s contribution. Is this an aberration from historical performance? This paper investigates income’s role as a component of total returns based on 78 years of financial asset performance. The paper includes research from an extensive U.S. real estate study recently conducted by the Brandes Institute in conjunction with Professor Elroy Dimson of the London Business School. The results call into question some common preconceptions of income’s contribution to equity and real estate returns.
A Perspective on Long-Term Real Estate Returns United States (April 2004)
How have capital appreciation and income contributed to real estate returns over the last 77 years? In a collaborative study sponsored by the Brandes Institute and in conjunction with Professor Elroy Dimson of the London Business School, we investigate long-term real estate returns in the United States. The study provides data to 1926 on a national (as opposed to regional) basis, and by breaking out components of total return.
Behavioral Finance – Pitfalls & Prevention for Plan Sponsors (February 2004)
Behavioral Finance – Pitfalls & Prevention for Plan Sponsors II (March 2004)
Robert Maynard, Chief Investment Officer at the Public Employee Retirement System of Idaho, raises awareness of behavioral issues and their relation to common investment problems with the goal of enhancing decision-making, particularly for institutional investors.
Falling Knives Around the World (August 2004)
Our research into Wall Street’s adage “never catch a falling knife” showed that when many investors saw risk among companies whose share prices had dropped sharply, there also was opportunity. Historically, the majority of falling knives in our studies were created during a few periods of market turmoil. Given the declines in global markets in 2008, we are focusing current research on various traits of the recently created group of knives and comparing them (and subsequent returns) with knives generated in prior, turbulent periods.
Changes in the Characteristics of International Diversification (October 2003)
What are the potential diversification benefits from equity holdings outside the United States? Our findings – prepared in collaboration with Ashdon Investment Analysis & Research, LLC – suggest that diversification benefits have sector aspects as well as country ones, and that U.S. investors should pay attention to size and multinational characteristics, as well.
Proxy Voting: Making Sure the Vote Counts (October 2003)
When attempting to exercise their primary avenue for activism – proxy voting – shareholders around the world must overcome a variety of legal, regulatory, and procedural obstacles that may prevent them from getting their votes counted – and counted correctly.
“Managing Pension Fund Assets as if the Long Term Really Did Matter” (October 2003)
Leading financial organizations, including the United Kingdom’s Universities Superannuation Scheme Limited (USS), sponsored a contest with this provocative title seeking proposals for a more effective approach to the issues facing long-term investors.
Taking Time Out (October 2003)
Most investors consider share price movement to be the critical factor in their decision to buy, hold, or sell any security. Here, we challenge that perception by taking time “out of the equation” and focusing on business value instead of share price.
The “Misinformation” Ratio (September 2002)
Published in the September 30, 2002 issue of Pensions & Investments magazine, this article discusses variations in common methods of calculating information ratios and Sharpe ratios – and shows how these variations can sometimes lead to confusing results.
Creating Value Through Activism (August 2002)
From the perspective of an institutional money manager, we explore risks and opportunities for activism, including why it remains an infrequent option, whether it should be encouraged, and its potential and limitations in contributing to long-term shareholder wealth.
Athanassakos, G., 2011, “Do Value Investors Add Value?”, Journal of Investing, Forthcoming.
Athanassakos, G., 2011, “The Performance, Pervasiveness and Determinants of Value Premium in Different US Exchanges: 1985-2006”, Journal of Investment Management, Forthcoming
Athanassakos, G., 2010, “Seasonality in Value vs. Growth Stock Returns and the Value Premium”, Journal of Financial and Economic Practice, Vol. 10, No. 2, pp. 73-96.
Athanassakos, G., 2009, “Value vs. Growth Stock Returns and the Value Premium: The Canadian Experience 1985-2005”, Canadian Journal of Administrative Sciences, Vol. 26, No. 2, March, pp. 109-121.
Athanassakos, G., 2008, “Seasonal Patterns in Canadian Financial Markets and the Impact of Professional Portfolio Rebalancing: Evidence of Profitable Opportunities”,Journal of Financial and Economic Practice, Vol. 9, No. 1, Fall, pp.73-96.
Athanassakos, G., 2007, “Valuing Internet Ventures”, Journal of Business Valuation and Economic Loss Analysis, 2(1), Article 2.
Athanassakos, G., 2002, “The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada”,Multinational Finance Journal, 6(1): 1 – 27.
Athanassakos, G., and L. F. Ackert, 1998, “The Seasonal Impact of Institutional Investors [The January Effect]”, Canadian Investment Review, Fall, 11(3): 28 – 31.
Athanassakos, G., and J. A. Schnabel, 1994, “Professional Portfolio Managers and the January Effect: Theory and Evidence”, Review of Financial Economics, Fall, 4(1): 79 – 91.
Athanassakos, G., 1992, “Portfolio rebalancing and the January effect in Canada”,Financial Analysts Journal, November/December, 48(6): 67 – 78.
Ackert, L.F., and G. Athanassakos, 2003, “A Simultaneous Equations Analysis of Analysts’ Forecast Bias, Analyst Following, and Institutional Ownership”, Journal of Business Finance and Accounting, September, 30(7-8): 1017 – 1042.
Ackert, L.F., and G. Athanassakos, 2001, “Visibility, Institutional Preferences and Agency Considerations”, Journal of Psychology and Financial Markets, 2(4): 201 – 209.
Ackert, L.F., and G.Athanassakos, 2000, “Institutional Investors, Analyst Following, and the January Anomaly”, Journal of Business Finance and Accounting, May, 27(3&4): 469 – 485.
Ackert, L.F., and G. Athanassakos, 1997, “Prior Uncertainty, Analyst Bias, and Subsequent Abnormal Returns”, Journal of Financial Research, Summer, 20(2): 263 – 273.
Alles, L., and G. Athanassakos, 2006, “The Effect of Investment Horizons on Risk, Return and End of Period Wealth for Major Asset Classes in Canada”, Canadian Journal of Administrative Sciences, June, Vol. 23, No. 2, pp. 138-152.
Arnott, R., J. Hsu, and P. Moore, 2005, “Fundamental Indexation”, Financial Analysts Journal, 61(2), (March/April), pp. 83-99.
Bauman, W. S., C. M. Conover, and R. E. Miller, 1999, “Investor Overreaction in International Stock Markets”, The Journal of Portfolio Management, Vol. 25, No. 4, Summer, pp. 102-110.
Bauman, W. S., and R. E. Miller, 1997, “Investor Expectations and the Performance of Value Stocks Versus Growth Stocks”, The Journal of Portfolio Management, Vol. 23, No. 3, Spring, pp. 57-68.
Bauman, W. S., and R. J. Dowen, 1994, “Security Analyst Forecasts and the Earnings Yield Anomaly”, Journal of Business Finance and Accounting, Vol. 21, No. 2, March, pp. 283-291.
Bauman, W. S., and R. J. Dowen, 1986, “A Fundamental Multi-Factor Asset Pricing Model”Financial Analysts Journal, Vol. 42, No. 4, July/August, pp. 45-51.
Bauman, W. S. and R. J. Dowen, 1986, “The Relative Importance of Size, P/E, Neglect”, The Journal of Portfolio Management, Vol. 12, No. 3, Spring, pp. 30-34.
Bauman, W. S., and R. J. Dowen, 1984, “A Test of the Relative Importance of Popularity and Price-Earnings Ratio in Determing Abnormal Returns”, Journal of The Midwest Finance Association, Vol. 13, pp. 34-47.
Conover, M. C., J. C. Banko, and G. R. Jensen, 2006, “The Relationship between the Value Effect and Industry Affiliation”, Journal of Business, forthcoming, September, vol. 79, no. 5.
Conover, M. C., W. S. Bauman, and D. R. Cox, 2002, “Are the Best Small Companies the Best Investments?”, Journal of Financial Research, Summer, 25:2…available soon.
Conover, M. C., W. S. Bauman, and R. E. Miller, 2001, “The Performance of Growth Stocks and Value Stocks in the Pacific Basin”, Review of Pacific Basin Financial Markets and Policies, Vol. 4, No. 2, June, pp. 95-108…available soon.
Conover, M. C., W. S. Bauman, and R. E. Miller, “Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets”, Financial Analysts Journal,Vol.52, No. 2, March-April, 1998, pp. 75-89.
de Zwart, G., J. van der Hart, and D. van Dijk, 2005, “The Success of Stock Selection Strategies in Emerging Markets: Is it Risk or Behavioral Bias?”, Emerging Markets Review, Vol. 6, No. 3, September, pp. 238-262.
de Zwart, G., and D. van Dijk, 2008, “The Inefficient Use of Macroeconomic Information in Analysts’ Earnings Forecasts in Emerging Markets”, ERIM Report Series Reference No. ERS-2008-007, March 2008.
Doukas, J. - Click here to view published papers
Fama, E. - Click here to view published papers
French, K., and E. F. Fama, 2007,“Disagreement, Tastes, and Asset Pricing”, Journal of Financial Economics, Vol. 83, pp. 667-689.
French, K., and E. F. Fama, 2006, “The Value Premium and the CAPM”, Journal of Finance, Vol. 61, pp. 2137-2162.
French, K., and E. F. Fama, 1998, “Value versus Growth: The International Evidence”, Journal of Finance, Vol 53, No 6, December 1998.
French, K., and E. F. Fama, 1995, “Size and Book-to-Market Factors in Earnings and Returns”, Journal of Finance, Vol 50, No 1, March 1995.
French, K., and E. F. Fama, 1993, “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, Vol. 34, Issue 1, pp. 3-56.
French, K., and E. F. Fama, 1992, “The Cross-Section of Expected Stock Returns”,Journal of Finance, Vol. 47, Issue 2, pp. 427-65.
Griffin, J., and M. Lemmon, “Does Book-to-Market Equity Proxy for Distress Risk?”, 2002, Journal of Finance Vol. 57, pp. 2317-2336.
Griffin, J., 2002, ”Are the Fama and French Factors Global or Country-Specific?”Review of Financial Studies 15, 783-803.
Guo, H. - Click here to view published papers
Hirshleifer, D., and K. Daniel, Subrahmanyam, A., 1998, “Investor Psychology and Security Market Under- and Over- Reactions”, Journal of Finance, lead article, December, pp. 1839-85.
Hirshleifer, D., and K. Daniel, Subrahmanyam, A., 2001, “Overconfidence, Arbitrage, and Equilibrium Asset Pricing”, Journal of Finance, 56(3), June, 73-84.
Hirshleifer, D., 2001, “Investor Psychology and Asset Pricing” Journal of Finance, 56(4), August,1533-1598.
Hirshleifer, D., and S. H. Teoh, 2003, “Limited Attention, Information Disclosure, and Financial Reporting”, Journal of Accounting and Economics, 36(1-3), December, 337-386.
Hirshleifer, D., K. Hou, S. H. Teoh, and Y. Zhang, “Do Investors Overvalue Firms with Bloated Balance Sheets?”, Journal of Accounting and Economics, 38(1-3), December, 2004, pp. 297-331.
Ho, K. – Click here to view published papers
Houge,T. – Click here to view published papers
Ivkovi?, Z., C. Sialm, S. Weisbenner 2008, “Portfolio Concentration and the Performance of Individual Investors”, Journal of Financial and Quantitative Analysis, Vol. 43, pp. 613-655.
Kacperczyk, M., C. Sialm, and L. Zheng, 2005, “On the Industry Concentration of Actively Managed Equity Mutual Funds”, Journal of Finance, Vol. 60, pp. 1983-2012.
Knewtson, H. S., R. W. Sias, and D. A. Whidbee., 2010, “Style Timing with Insiders”,Financial Analysts Journal, July/August 2010, Vol. 66, No. 4.
Pantzalis, C. – Click here to view published papers
La Porta, R., 2002, “Expectations and the Cross-Section of Stock Returns”, Journal of Finance, December 1996. Reprinted in Harold M. Shefrin ed. Behavioral Finance, Blackwell Publishers Ltd., Northampton, Massachusetts.
La Porta, R., J. Lakonishok, A. Shleifer, and R. Vishny, 1997, “Good News for Value Stocks: Further Evidence on Market Efficiency”, Journal of Finance, Vol. 52, No. 2 (Jun., 1997), pp. 859-874.
Li, F., R. Arnott, and K. Sherrerd, 2009, “Clairvoyant Value and the Value Effect”, The Journal of Portfolio Management, 35(3), Spring 2009, pp. 12-26.
Phalippou, L. - Click here to view published papers
Piotroski , J. D., 2000, “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers”, Journal of Accounting Research, Vol. 38, Supplement: Studies on Accounting Information and the Economics of the Firm, pp. 1-41
Richardson, S. – Click here to view published papers
Schill, M., M. Cooper and H. Gulen, 2010, “The asset growth effect in stock returns”,Journal of Investment Management, Vol. 8, No. 3, pp., 65-79.
Shleifer, A. - Click here to view published papers
Subrahmanyam, A., 2007, - “Behavioural Finance: A Review and Synthesis”,European Financial Management, 14(1), pp. 12–29.
Viceira, L. - Click here to view published papers
Yang, J., H. Guo, R. Savickas, and Z. Wang, 2005, “Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence”, Journal of Financial and Quantitative Analysis, Forthcoming.
Zhang, L., and R. Pertkova, 2005, “Is Value Riskier Than Growth?”, Journal of Financial Economics 78 (1), pp. 187-202.
Zhang, L., 2005, “The Value Premium”, Journal of Finance 60 (1), 67-103.
Zhang, L., J. F. Gomes, and L. Kogan, 2003, “Equilibrium Cross-Section of Returns”August 2003, 111 (4), Journal of Political Economy 693-732.
Walkshäusl, C., 2009, “Fundamental Indexing Around the World”
Wong, W-K., 2009, “Financial Astrology: Mapping the Presidential Election Cycle in US Stock Markets”, January.
Yan, Z., 2009, “When Two Anomalies Meet: Post-Earnings-Announcement Drift and Value-Glamour Anomaly”, September.
Yang, J., and X. Su, 2006, “Are Value and Growth More Predictable than the Market?”, March.
Zhang, L., L. Chen, and R. Petkova, 2006, “The Expected Value Premium”, presented at AFA, last updated in September 2006 [revision of NBER working paper #12183, Ross School of Business working paper #1049], September.
Zhang, L., and N. Liu, 2006, “Is the Value Spread a Useful Predictor of Returns?”, presented at WFA, last updated in September 2006 [revision of NBER working paper #11326, Ross School of Business working paper #1051], September.
Zhang, L., H. Gulen, and Y. Xing, 2004, “Value versus Growth: Movements in Economic Fundamentals”, presented at AFA, August.
Zhang, L. - Click here for more information on Lu Zhang’s research
Fong, W. M., 2008, “Investigating the Risk Argument for the Value Premium”, December.
French, K., and E. F. Fama, 2007, “Average Returns, B/M, and Share Issues”, April.
French, K., and E. F. Fama, 2007, “Migration”, February.
French, K., and E. F. Fama, 2005, “The Anatomy of Value and Growth Stock Returns”, September.
French, K., and E. F. Fama, 2006, “Dissecting Anomalies”, December.
Gray, W., and A. Kern, 2010, “Do Fund Managers Identify and Share Profitable Ideas?”.
Gray, W., and A. Kern, 2008, “Fundamental Value Investors: Characteristics and Performance”, December.
Hirshleifer, D., and S. H. Teoh, 2005, “Limited Investor Attention and Stock Market Misreactions to Accounting Information”, November.
Hirshleifer, D., S. H. Teoh, and K. Hou, 2005, “Accruals and Aggregate Stock Market Returns”, November.
Hirshleifer, D., S. H. Teoh, and K. Hou, 2006, “Accruals and NOA Anomalies: Risk or Mispricing?”, March.
Hirshleifer, D., S. H. Teoh, and S. S. Lim, 2006, “Driven to Distraction: Extraneous Events and Underreaction to Earnings News”, May.
Arnold, G., 2007, “Return Reversal in UK Shares”, January.
Arnold, G., 2007, “Financial Statement Analysis and Return Reversal”.
Arnold, G., 2007, “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”, January.
Bhattacharya, U., and N. E. Galpin, 2005, “Is Stock Picking Declining Around the World?”, November.
Billett, M., Z. Jiang, and L. Rego, 2010, “Does Customer Sentiment Contribute to Investor Sentiment: Glamour Brands and Glamour Stocks?”, May.
Blazenko, G., 2009, “Value Versus Growth in Dynamic Equity Investing”, December.
Boyle, P., L. Garlappi, R. Uppal, and T. Wang, 2009, “Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification”, February.
Cohen, R., C. Polk, and B. Silli, 2010, “Best Ideas” May.