New related paper to #26 – Value (Book-to-Market) Anomaly – Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies
Related research paper has been included into existing free strategy review.
#26 – Value (Book-to-Market) Anomaly
Authors: Hsu, Myers, Whitby:
Title: Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies
Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2560434
Abstract:
Value investing is viewed as a historically successful investment strategy. The literature generally agrees on the robustness of the strategy but disagrees on the explanations for the success. While the empirical research focuses exclusively on the time-series returns — or the buy-and-hold return — of a value portfolio, the investor experience is, of course, driven by the internal rate of return (IRR) — or the dollar-weighted average return. Although the buy-and-hold average portfolio return may be the proper way to document the anomaly, the dollar-weighted average return can shed light on some interesting questions which cannot be addressed by analyzing the buy-and-hold returns. In particular, examining the dollar-weighted returns allows us to ask whether investors have actually generated superior IRR consistent with the reported buy-and-hold outperformance of value strategies.
Notable quotations from the paper:
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